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.
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.
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(This is an unpublished manuscript.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.)
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.