Package: fGarch 4033.92
Georgi N. Boshnakov
fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling
Analyze and model heteroskedastic behavior in financial time series.
Authors:
fGarch_4033.92.tar.gz
fGarch_4033.92.tar.gz(r-4.5-noble)fGarch_4033.92.tar.gz(r-4.4-noble)
fGarch_4033.92.tgz(r-4.4-emscripten)fGarch_4033.92.tgz(r-4.3-emscripten)
fGarch.pdf |fGarch.html✨
fGarch/json (API)
NEWS
| # Install 'fGarch' in R: |
| install.packages('fGarch', repos = 'https://cloud.r-project.org') |
Bug tracker:https://github.com/geobosh/fgarchdoc/issues0 issues
Pkgdown site:https://geobosh.github.io
Conda:r-fgarch-4033.92(2025-03-25)
Last updated 1 years agofrom:4bec24cf5b. Checks:3 OK. Indexed: yes.
| Target | Result | Latest binary |
|---|---|---|
| Doc / Vignettes | OK | Mar 22 2025 |
| R-4.5-linux-x86_64 | OK | Mar 22 2025 |
| R-4.4-linux-x86_64 | OK | Mar 22 2025 |
Exports:.gogarchFit.ugarchFit.ugarchSpecabsMomentscoefdgeddsgeddsnormdsstddstdESfittedformulagarchFitgarchFitControlgarchKappagarchSimgarchSpecgedFitgedSliderpgedplotpredictpsgedpsnormpsstdpstdqgedqsgedqsnormqsstdqstdresidualsrgedrsgedrsnormrsstdrstdsgedFitsgedSlidershowsnormFitsnormSlidersstdFitsstdSliderstdFitstdSlidersummarytimeSeriesupdateVaRvolatility
Dependencies:cvarfastICAfBasicsgbutilsgsslatticeMASSMatrixrbibutilsRdpackspatialstabledisttimeDatetimeSeries
Citation
To cite package ‘fGarch’ in publications use:
Wuertz D, Chalabi Y, Setz T, Maechler M, Boshnakov GN (2024). fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling. R package version 4033.92, https://CRAN.R-project.org/package=fGarch.
Corresponding BibTeX entry:
@Manual{,
title = {fGarch: Rmetrics - Autoregressive Conditional
Heteroskedastic Modelling},
author = {Diethelm Wuertz and Yohan Chalabi and Tobias Setz and
Martin Maechler and Georgi N. Boshnakov},
year = {2024},
note = {R package version 4033.92},
url = {https://CRAN.R-project.org/package=fGarch},
}
Readme and manuals
Analyze and model heteroskedastic behavior in financial time series with GARCH, APARCH and related models.
Package fGarch is part of the Rmetrics suite of R packages and is developed on R-forge at
fGarch devel.
The root of Rmetrics is at R-forge.
Installing fGarch
Install the latest stable version of
fGarch from CRAN:
install.packages("fGarch")
You can install the
development version
of fGarch from R-forge:
install.packages("fGarch", repos = "http://R-Forge.R-project.org")
To report bugs visit Rmetrics.
Documentation
You can view the documentation of fGarch at
fGarchDoc
or download the
reference manual
of the latest release from CRAN.
A comprehensive overview of the models and conditional distributions employed in package
fGarch, along with worked examples, is available in the following paper by the original
authors of the package:
(This is an unpublished manuscript. Some online sources, confusingly, attribute it to JSS,
vol 55, issue 2, but this seems to have taken the placeholders VV and II in the heading
on the first page as being the Roman numbers 55 and 2.)