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
Author: Diethelm Wuertz [aut] (original code), Yohan Chalabi [aut], Tobias Setz [aut], Martin Maechler ORCID iD [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:

Reference manual: fGarch.pdf

Downloads:

Package source: fGarch_4033.92.tar.gz
Windows binaries: r-devel: fGarch_4033.92.zip, r-release: fGarch_4033.92.zip, r-oldrel: fGarch_4033.92.zip
macOS binaries: r-release (arm64): fGarch_4033.92.tgz, r-oldrel (arm64): fGarch_4033.92.tgz, r-release (x86_64): fGarch_4033.92.tgz
Old sources: fGarch archive

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

Linking:

Please use the canonical form https://CRAN.R-project.org/package=fGarch to link to this page.