fGarch

MaRDI QIDQ21971swMATHCRANFDO

Authors Martin Maechler, Diethelm Wuertz, Tobias Setz, Georgi N. Boshnakov, Yohan Chalabi

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

Description

Analyze and model heteroskedastic behavior in financial time series.

Cited in

(97)

• Stock market forecasting by using a hybrid model of exponential fuzzy time series
• Finite-sample properties of estimators for first and second order autoregressive processes
• 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
• A method to estimate power parameter in exponential power distribution via polynomial regression
• Dichotomous unimodal compound models: application to the distribution of insurance losses
• Specification tests for the error distribution in GARCH models
• Compound unimodal distributions for insurance losses
• Inference on the tail process with application to financial time series modeling
• Interval forecasts based on regression trees for streaming data
• 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
• pacotest
• stochvol
• VG_codes
• highfrequency
• gets
• insuranceData
• ReIns
• GHICA
• betategarch
• penRvine
• MCSprocedure
• bayesGARCH
• GEVStableGarch
• CDVineCopulaConditional
• pencopulaCond
• fPortfolio
• pyvinecopulib
• univariateML
• portes
• varstan
• ltmix
• expdepth
• WaveletML
• CEEMDANML
• AriGaMyANNSVR
• L2DensityGoFtest
• distrRmetrics
• gogarch
• SLBDD
• svines
• ludic
• IndexConstruction
• GWEX
• segMGarch
• irtDemo
• StockDistFit
• glogis
• mixAR
• A new class of independence tests for interval forecasts evaluation
• New independent component analysis tools for time series
• Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach
• ExtremeRisks
• On the characteristic function for asymmetric Student \(t\) distributions
• npboottprm
• npboottprmFBar
• On automatic bias reduction for extreme expectile estimation
• Dependence structure between world crude oil prices: evidence from NYMEX, ICE, and DME markets
• Testing for Serial Independence: Beyond the Portmanteau Approach
• Combining predictive distributions
• Blind source separation for compositional time series
• ARbiascorrect
• On robustifying some second order blind source separation methods for nonstationary time series
• An introduction to analysis of financial data with R.
• Conditional empirical copula processes and generalized measures of association
• On the efficacy of stop-loss rules in the presence of overnight gaps
• Likelihood-based risk estimation for variance-gamma models
• Computational finance. An introductory course with R

This page was built for software: fGarch