Package: fGarch 4033.92

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_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 = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

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

Pkgdown:https://geobosh.github.io

Datasets:

fortran

8.63 score 6 stars 50 packages 1.1k scripts 14k downloads 3 mentions 52 exports 14 dependencies

Last updated 9 months agofrom:4bec24cf5b. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 22 2024
R-4.5-linux-x86_64OKDec 22 2024

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
Class "fGARCH"fGARCH-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
Univariate or multivariate GARCH time series fitting.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
Generalized error distribution slidergedSlider
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 GED distribution slidersgedSlider
Skew normal distributiondsnorm psnorm qsnorm rsnorm snorm
Skew normal distribution parameter estimationsnormFit
Skew normal distribution slidersnormSlider
Skew Student-t distributiondsstd psstd qsstd rsstd sstd
Skew Student-t distribution parameter estimationsstdFit
Skew Student-t distribution slidersstdSlider
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
Student-t distribution sliderstdSlider
GARCH summary methodssummary 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