fGarch

MaRDI QIDQ21971swMATHCRANFDO

Authors 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

Description

Analyze and model heteroskedastic behavior in financial time series.

Cited in

(96)

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

This page was built for software: fGarch