fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling
Analyze and model heteroskedastic behavior in financial time series.
| Version: | 4022.89 |
| Imports: | fBasics, timeDate, timeSeries, fastICA, Matrix (≥ 1.5-0), cvar (≥ 0.5), graphics, methods, stats, utils |
| Suggests: | RUnit, tcltk |
| Published: | 2022-11-05 |
| 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 [cre, ctb] |
| 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://www.rmetrics.org |
| NeedsCompilation: | yes |
| Materials: | README NEWS ChangeLog |
| In views: | Finance, TimeSeries |
| CRAN checks: | fGarch results |
Documentation:
| Reference manual: | fGarch.pdf |
Downloads:
| Package source: | fGarch_4022.89.tar.gz |
| Windows binaries: | r-devel: fGarch_4022.89.zip, r-release: fGarch_4022.89.zip, r-oldrel: fGarch_4022.89.zip |
| macOS binaries: | r-release (arm64): fGarch_4022.89.tgz, r-oldrel (arm64): fGarch_4022.89.tgz, r-release (x86_64): fGarch_4022.89.tgz, r-oldrel (x86_64): fGarch_4022.89.tgz |
| Old sources: | fGarch archive |
Reverse dependencies:
| Reverse depends: | distrRmetrics, gogarch |
| Reverse imports: | fExtremes, ftsa, gscreend, GWEX, IndexConstruction, irtDemo, L2DensityGoFtest, ludic, mixAR, MTS, segMGarch, SLBDD, svines, univariateML |
| Reverse suggests: | AER, caschrono, CLA, cvar, fPortfolio, ggfortify, gratis, 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.