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

Source code repository: https://github.com/cran/fGarch

Description

Analyze and model heteroskedastic behavior in financial time series.

Cited In (47)

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• mixAR
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• 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
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• Inference on the tail process with application to financial time series modeling
• Testing for correlation between two time series using a parametric bootstrap
• Interval forecasts based on regression trees for streaming data
• A new class of independence tests for interval forecasts evaluation
• fExtremes
• ftsa
• MTS
• New independent component analysis tools for time series
• univariateML
• Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach
• On the characteristic function for asymmetric Student \(t\) distributions
• On automatic bias reduction for extreme expectile estimation
• Testing for Serial Independence: Beyond the Portmanteau Approach
• WaveletML
• CEEMDANML
• AriGaMyANNSVR
• Combining predictive distributions
• L2DensityGoFtest
• distrRmetrics
• Blind source separation for compositional time series
• Semiparametric Time Series Models with Log‐concave Innovations: Maximum Likelihood Estimation and its Consistency
• On robustifying some second order blind source separation methods for nonstationary time series
• 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
• On the efficacy of stop-loss rules in the presence of overnight gaps
• irtDemo
• StockDistFit
• Likelihood-based risk estimation for variance-gamma models
• Computational finance. An introductory course with R
• Stock market forecasting by using a hybrid model of exponential fuzzy time series

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