rugarch: Univariate GARCH Models

ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.

Package details

AuthorAlexios Galanos [aut, cre], Tobias Kley [ctb]
MaintainerAlexios Galanos <alexios@4dscape.com>
LicenseGPL-3
Version1.5-1
URL http://www.unstarched.net https://github.com/alexiosg/rugarch
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("rugarch")

Try the rugarch package in your browser

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

rugarch documentation built on Sept. 20, 2023, 9:07 a.m.