fGarch

MaRDI QIDQ21971swMATHCRANFDO

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

Last update 12 December 2025

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

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, PACKAGES.rds, 4033.92, 4052.93

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

(only showing first 100 items - show all)

• gogarch
• SLBDD
• svines
• ludic
• ARbiascorrect
• mixAR
• glogis
• IndexConstruction
• GWEX
• segMGarch
• irtDemo
• StockDistFit
• Inference on the tail process with application to financial time series modeling
• Compound unimodal distributions for insurance losses
• fBasics
• tseries
• Analyzing dependent data with vine copulas. A practical guide with R
• Likelihood-based risk estimation for variance-gamma models
• A new class of independence tests for interval forecasts evaluation
• Specification tests for the error distribution in GARCH models
• FitAR
• Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach
• Interval forecasts based on regression trees for streaming data
• Conditional empirical copula processes and generalized measures of association
• On automatic bias reduction for extreme expectile estimation
• RMetrics
• fExoticOptions
• Metrics
• quantmod
• TTR
• xts
• Blind source separation for compositional time series
• normalp
• HyperbolicDist
• VarianceGamma
• TSA
• TwoCop
• WeightedPortTest
• On robustifying some second order blind source separation methods for nonstationary time series
• On the characteristic function for asymmetric Student \(t\) distributions
• Rugarch
• fExtremes
• SDD
• JADE
• StatDA
• ftsa
• Finite-sample properties of estimators for first and second order autoregressive processes
• MTS
• fitdistrplus
• PMCMR
• DySco
• LAHS
• BootPR
• Computational finance. An introductory course with R
• An introduction to analysis of financial data with R.
• GAS
• pacotest
• stochvol
• Combining predictive distributions
• neldermead
• VG_codes
• highfrequency
• gets
• ReIns
• insuranceData
• GHICA
• penRvine
• betategarch
• MCSprocedure
• bayesGARCH
• GEVStableGarch
• pyvinecopulib
• CDVineCopulaConditional
• pencopulaCond
• univariateML
• fPortfolio
• portes
• varstan
• ltmix
• Dependence structure between world crude oil prices: evidence from NYMEX, ICE, and DME markets
• Semiparametric time series models with log-concave innovations: maximum likelihood estimation and its consistency
• On the efficacy of stop-loss rules in the presence of overnight gaps
• A method to estimate power parameter in exponential power distribution via polynomial regression
• expdepth
• Dichotomous unimodal compound models: application to the distribution of insurance losses
• Testing for correlation between two time series using a parametric bootstrap
• Testing for Serial Independence: Beyond the Portmanteau Approach
• Stock market forecasting by using a hybrid model of exponential fuzzy time series
• ExtremeRisks
• npboottprm
• npboottprmFBar
• gratis
• WaveletML
• CEEMDANML
• tvGarchKF
• extraSuperpower
• NetVAR
• chopper
• boodd
• AriGaMyANNSVR

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