fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

Analyze and model heteroskedastic behavior in financial time series.

Getting started

Package details

AuthorDiethelm Wuertz [aut] (original code), Yohan Chalabi [aut], Tobias Setz [aut], Martin Maechler [aut] (<https://orcid.org/0000-0002-8685-9910>), Chris Boudt [ctb], Pierre Chausse [ctb], Michal Miklovac [ctb], Georgi N. Boshnakov [cre, ctb]
MaintainerGeorgi N. Boshnakov <georgi.boshnakov@manchester.ac.uk>
LicenseGPL (>= 2)
URL https://www.rmetrics.org
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the fGarch package in your browser

Any scripts or data that you put into this service are public.

fGarch documentation built on Sept. 29, 2022, 5:11 p.m.