Package: fGarch 4052.93

Georgi N. Boshnakov

fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

Analyze and model heteroskedastic behavior in financial time series.

Authors:Diethelm Wuertz [aut], Yohan Chalabi [aut], Tobias Setz [aut], Martin Maechler [aut], Chris Boudt [ctb], Pierre Chausse [ctb], Michal Miklovac [ctb], Georgi N. Boshnakov [aut, cre]

fGarch_4052.93.tar.gz
fGarch_4052.93.tar.gz(r-4.7-arm64)fGarch_4052.93.tar.gz(r-4.7-x86_64)fGarch_4052.93.tar.gz(r-4.6-arm64)fGarch_4052.93.tar.gz(r-4.6-x86_64)
fGarch_4052.93.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
fGarch/json (API)

# Install 'fGarch' in R:
install.packages('fGarch', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/geobosh/fgarchdoc/issues

Pkgdown/docs site:https://geobosh.github.io

Datasets:

On CRAN:

Conda:

glibc

8.49 score 8 stars 55 packages 1.4k scripts 12k downloads 3 mentions 52 exports 14 dependencies

Last updated from:a232eb1e0a. Checks:6 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK196
linux-devel-x86_64OK143
source / vignettesOK180
linux-release-arm64OK159
linux-release-x86_64OK146
wasm-releaseOK102

Exports:.gogarchFit.ugarchFit.ugarchSpecabsMomentscoefdgeddsgeddsnormdsstddstdESfittedformulagarchFitgarchFitControlgarchKappagarchSimgarchSpecgedFitgedSliderpgedplotpredictpsgedpsnormpsstdpstdqgedqsgedqsnormqsstdqstdresidualsrgedrsgedrsnormrsstdrstdsgedFitsgedSlidershowsnormFitsnormSlidersstdFitsstdSliderstdFitstdSlidersummarytimeSeriesupdateVaRvolatility

Dependencies:cvarfastICAfBasicsgbutilsgsslatticeMASSMatrixrbibutilsRdpackspatialstabledisttimeDatetimeSeries

Readme and manuals

Help Manual

Help pageTopics
Modelling heterskedasticity in financial time seriesfGarch-package fGarch
Absolute moments of GARCH distributionsabsMoments
GARCH coefficients methodscoef coef,fGARCH-method coef,fGARCHSPEC-method coef-methods
Visualise skew normal, (skew) Student-t and (skew) GED distributionsgedSlider sgedSlider snormSlider sstdSlider stdSlider
Class "fGARCH" - fitted ARMA-GARCH/APARCH modelsfGARCH-class show,fGARCH-method update,fGARCH-method
Time series datasetsdem2gbp fGarchData sp500dge
Class "fGARCHSPEC"fGARCHSPEC-class show,fGARCHSPEC-method update,fGARCHSPEC-method
Extract GARCH model fitted valuesfitted fitted,fGARCH-method fitted-methods
Extract GARCH model formulaformula formula,fGARCH-method formula-methods
Class 'fUGARCHSPEC'.ugarchFit .ugarchSpec fUGARCHSPEC-class
Fit univariate and multivariate GARCH-type models.gogarchFit garchFit garchKappa
Control GARCH fitting algorithmsgarchFitControl
Simulate univariate GARCH/APARCH time seriesgarchSim
Univariate GARCH/APARCH time series specificationgarchSpec
Standardized generalized error distributiondged ged pged qged rged
Generalized error distribution parameter estimationgedFit
GARCH plot methodsplot plot,fGARCH,missing-method plot-methods
GARCH prediction functionpredict predict,fGARCH-method predict-methods
Extract GARCH model residualsresiduals residuals,fGARCH-method residuals-methods
Skew generalized error distributiondsged psged qsged rsged sged
Skew generalized error distribution parameter estimationsgedFit
Skew normal distributiondsnorm psnorm qsnorm rsnorm snorm
Skew normal distribution parameter estimationsnormFit
Skew Student-t distributiondsstd psstd qsstd rsstd sstd
Skew Student-t distribution parameter estimationsstdFit
Diagnostic plots and statistics for fitted GARCH modelsstats-tsdiag tsdiag tsdiag.fGARCH
Standardized Student-t distributiondstd pstd qstd rstd std
Student-t distribution parameter estimationstdFit
fGARCH method for the summary functionsummary summary,fGARCH-method summary-methods
Compute Value-at-Risk (VaR) and expected shortfall (ES)ES ES.fGARCH VaR VaR.fGARCH
Extract GARCH model volatilityvolatility volatility.fGARCH