fGarch
swMATH9994CRANfGarchMaRDI QIDQ21971FDOQ21971
Rmetrics - Autoregressive Conditional Heteroskedastic Modelling
Yohan Chalabi, Diethelm Wuertz, Tobias Setz, Martin Maechler, Georgi N. Boshnakov
Last update: 2 February 2024
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 4022.89, 260.71, 260.72, 280.73, 280.74, 280.75, 290.76, 290.77, 2100.78, 2100.79, 2110.80.1, 2110.80, 2150.81, 3010.82.1, 3010.82, 3042.83.1, 3042.83.2, 3042.83, 4021.86, 4021.87, 4021.88, 4031.90, 4032.91
Official website: http://cran.r-project.org/web/packages/fGarch/index.html
Source code repository: https://github.com/cran/fGarch
Analyze and model heteroskedastic behavior in financial time series.
Cited In (97)
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- Finite-sample properties of estimators for first and second order autoregressive processes
- A method to estimate power parameter in exponential power distribution via polynomial regression
- Dichotomous unimodal compound models: application to the distribution of insurance losses
- Inference on the tail process with application to financial time series modeling
- Interval forecasts based on regression trees for streaming data
- A new class of independence tests for interval forecasts evaluation
- Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach
- Dependence structure between world crude oil prices: evidence from NYMEX, ICE, and DME markets
- On automatic bias reduction for extreme expectile estimation
- Blind source separation for compositional time series
- ARbiascorrect
- On robustifying some second order blind source separation methods for nonstationary time series
- On the efficacy of stop-loss rules in the presence of overnight gaps
- ExtremeRisks
- Computational finance. An introductory course with R
- glogis
- mixAR
- Semiparametric time series models with log-concave innovations: maximum likelihood estimation and its consistency
- Analyzing dependent data with vine copulas. A practical guide with R
- Specification tests for the error distribution in GARCH models
- Compound unimodal distributions for insurance losses
- Testing for correlation between two time series using a parametric bootstrap
- fBasics
- tseries
- quantmod
- FitAR
- fExoticOptions
- Metrics
- RMetrics
- TTR
- xts
- normalp
- HyperbolicDist
- VarianceGamma
- TSA
- TwoCop
- WeightedPortTest
- Rugarch
- fExtremes
- JADE
- ftsa
- SDD
- StatDA
- MTS
- fitdistrplus
- DySco
- PMCMR
- BootPR
- LAHS
- GAS
- neldermead
- New independent component analysis tools for time series
- pacotest
- stochvol
- VG_codes
- highfrequency
- gets
- insuranceData
- ReIns
- GHICA
- betategarch
- penRvine
- MCSprocedure
- bayesGARCH
- GEVStableGarch
- CDVineCopulaConditional
- pencopulaCond
- fPortfolio
- pyvinecopulib
- univariateML
- portes
- varstan
- ltmix
- On the characteristic function for asymmetric Student \(t\) distributions
- expdepth
- Testing for Serial Independence: Beyond the Portmanteau Approach
- WaveletML
- CEEMDANML
- AriGaMyANNSVR
- Combining predictive distributions
- L2DensityGoFtest
- distrRmetrics
- gogarch
- An introduction to analysis of financial data with R.
- SLBDD
- svines
- ludic
- Conditional empirical copula processes and generalized measures of association
- IndexConstruction
- GWEX
- segMGarch
- irtDemo
- StockDistFit
- Likelihood-based risk estimation for variance-gamma models
- Stock market forecasting by using a hybrid model of exponential fuzzy time series
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