fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

Provides a collection of functions to analyze and model heteroskedastic behavior in financial time series models.

Getting started

Package details

AuthorDiethelm Wuertz [aut], Tobias Setz [cre], Yohan Chalabi [ctb], Chris Boudt [ctb], Pierre Chausse [ctb], Michal Miklovac [ctb]
MaintainerTobias Setz <tobias.setz@live.com>
LicenseGPL (>= 2)
Version3042.83.2
URL https://www.rmetrics.org
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("fGarch")

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fGarch documentation built on March 14, 2020, 1:08 a.m.