Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

Provides a collection of functions to analyze and model heteroskedastic behavior in financial time series models.


Reference manual

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3042.83.2 by Tobias Setz, a year ago


Browse source code at https://github.com/cran/fGarch

Authors: Diethelm Wuertz [aut] , Tobias Setz [cre] , Yohan Chalabi [ctb] , Chris Boudt [ctb] , Pierre Chausse [ctb] , Michal Miklovac [ctb]

Documentation:   PDF Manual  

Task views: Empirical Finance, Time Series Analysis

GPL (>= 2) license

Imports fastICA, Matrix, graphics, methods, stats, utils

Depends on timeDate, timeSeries, fBasics

Suggests RUnit, tcltk

Imported by GWEX, IndexConstruction, L2DensityGoFtest, MTS, SLBDD, cvar, irtDemo, ludic, mixAR, segMGarch, starvars, univariateML.

Depended on by distrRmetrics, fExtremes, gogarch, mleur.

Suggested by AER, CLA, PortfolioAnalytics, caschrono, fPortfolio, ggfortify, gratis, portes, sarima, simsalapar, smoots, symmetry.

Enhanced by stargazer.

See at CRAN