fGarch

swMATH9994CRANfGarchMaRDI QIDQ21971

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.

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