fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling
Analyze and model heteroskedastic behavior in financial time series.
| Version: | 4052.93 |
| Imports: | fBasics,timeDate,timeSeries,fastICA,Matrix (≥ 1.5-0),cvar (≥ 0.5), graphics, methods, stats, utils |
| Suggests: | RUnit, tcltk,goftest |
| Published: | 2025-12-12 |
| 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/tracker/?func=browse&group_id=156&atid=633 |
| License: | GPL-2 |GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://geobosh.github.io/fGarchDoc/ (doc),https://CRAN.R-project.org/package=fGarch,https://www.rmetrics.org |
| NeedsCompilation: | yes |
| Materials: | README,NEWS,ChangeLog |
| In views: | Finance,TimeSeries |
| CRAN checks: | fGarch results |
Documentation:
| Reference manual: | fGarch.html ,fGarch.pdf |
Downloads:
| Package source: | fGarch_4052.93.tar.gz |
| Windows binaries: | r-devel:fGarch_4052.93.zip, r-release:fGarch_4052.93.zip, r-oldrel:fGarch_4052.93.zip |
| macOS binaries: | r-release (arm64):fGarch_4052.93.tgz, r-oldrel (arm64):fGarch_4052.93.tgz, r-release (x86_64):fGarch_4052.93.tgz, r-oldrel (x86_64):fGarch_4052.93.tgz |
| Old sources: | fGarch archive |
Reverse dependencies:
| Reverse depends: | boodd,distrRmetrics,gogarch |
| Reverse imports: | AriGaMyANNSVR,CEEMDANML,chopper,extraSuperpower,fExtremes,ftsa,gratis,gscreend,GWEX,IndexConstruction,irtDemo,L2DensityGoFtest,ludic,mixAR,MTS,NetVAR,npboottprm,npboottprmFBar,segMGarch,SLBDD,StockDistFit,svines,tvGarchKF,univariateML,WaveletML |
| Reverse suggests: | AER,CLA,cvar,fPortfolio,ggfortify,PortfolioAnalytics,sarima,simsalapar,smoots,symmetry |
| Reverse enhances: | stargazer,texreg |
Linking:
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