fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling
Analyze and model heteroskedastic behavior in financial time series.
| Version: |
4033.92 |
| Imports: |
fBasics, timeDate, timeSeries, fastICA, Matrix (≥ 1.5-0), cvar (≥ 0.5), graphics, methods, stats, utils |
| Suggests: |
RUnit, tcltk, goftest |
| Published: |
2024-03-26 |
| DOI: |
10.32614/CRAN.package.fGarch |
| Author: |
Diethelm Wuertz [aut] (original code),
Yohan Chalabi [aut],
Tobias Setz [aut],
Martin Maechler 
[aut],
Chris Boudt [ctb],
Pierre Chausse [ctb],
Michal Miklovac [ctb],
Georgi N. Boshnakov [aut, cre] |
| Maintainer: |
Georgi N. Boshnakov <georgi.boshnakov at manchester.ac.uk> |
| BugReports: |
https://r-forge.r-project.org/projects/rmetrics |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
https://geobosh.github.io/fGarchDoc/ (doc),
https://www.rmetrics.org (devel) |
| NeedsCompilation: |
yes |
| Materials: |
README NEWS ChangeLog |
| In views: |
Finance, TimeSeries |
| CRAN checks: |
fGarch results |
Documentation:
Downloads:
Reverse dependencies:
| Reverse depends: |
distrRmetrics, gogarch |
| Reverse imports: |
AriGaMyANNSVR, CEEMDANML, fExtremes, ftsa, gratis, gscreend, GWEX, IndexConstruction, irtDemo, L2DensityGoFtest, ludic, mixAR, MTS, npboottprm, npboottprmFBar, segMGarch, SLBDD, StockDistFit, svines, univariateML, WaveletML |
| Reverse suggests: |
AER, CLA, cvar, fPortfolio, ggfortify, PortfolioAnalytics, sarima, simsalapar, smoots, symmetry |
| Reverse enhances: |
stargazer, texreg |
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