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 [aut, cre]
MaintainerGeorgi N. Boshnakov <georgi.boshnakov@manchester.ac.uk>
LicenseGPL (>= 2)
Version4032.91
URL https://www.rmetrics.org
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("fGarch", repos="http://R-Forge.R-project.org")

Try the fGarch package in your browser

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

fGarch documentation built on Feb. 4, 2024, 3:01 a.m.