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fGarch (version 3042.83)
Rmetrics - Autoregressive Conditional Heteroskedastic Modelling
Description
Provides a collection of functions to analyze and model heteroskedastic behavior in financial time series models.
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Version
4033.92
4032.91
4031.90
4022.89
4021.88
4021.87
4021.86
3042.83.2
3042.83.1
3042.83
3010.82.1
3010.82
2150.81
2110.80.1
2100.79
2100.78
290.77
290.76
280.75
280.74
280.73
260.72
260.71
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Install
install.packages('fGarch')
Monthly Downloads
15,812
Version
3042.83
License
GPL (>= 2)
Maintainer
Tobias Setz
Last Published
November 16th, 2017
Functions in fGarch (3042.83)
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fGARCHSPEC-class
Class "fGARCHSPEC"
TimeSeriesData
Time Series Data Sets
sgedFit
Skew Generalized Error Distribution Parameter Estimation
sged
Skew Generalized Error Distribution
fGARCH-class
Class "fGARCH"
fGarch-package
Modelling Heterskedasticity in Financial Time Series
std
Student-t Distribution
gedFit
Generalized Error Distribution Parameter Estimation
sstdFit
Skew Student-t Distribution Parameter Estimation
gedSlider
Geeneralized Error Distribution Slider
absMoments
Absolute Moments of GARCH Distributions
garchSim
Univariate GARCH/APARCH Time Series Simulation
ged
Generalized Error Distribution
garchSpec
Univariate GARCH Time Series Specification
sstd
Skew Student-t Distribution and Parameter Estimation
sgedSlider
Skew GED Distribution Slider
snormSlider
Skew Normal Distribution Slider
coef-methods
GARCH Coefficients Methods
snormFit
Skew Normal Distribution Parameter Estimation
fitted-methods
Extract GARCH Model Fitted Values
sstdSlider
Skew Student-t Distribution Slider
predict-methods
GARCH Prediction Function
snorm
Skew Normal Distribution
residuals-methods
Extract GARCH Model Residuals
stdFit
Student-t Distribution Parameter Estimation
volatility-methods
Extract GARCH Model Volatility
stdSlider
Student-t Distribution Slider
formula-methods
Extract GARCH Model formula
plot-methods
GARCH Plot Methods
show-methods
GARCH Modelling Show Methods
garchFit
Univariate GARCH Time Series Fitting
garchFitControl
GARCH Fitting Algorithms and Control
summary-methods
GARCH Summary Methods