Analyze and model heteroskedastic behavior in financial time series with GARCH, APARCH and related models.
Package fGarch is part of the Rmetrics suite of R packages and is developed on R-forge at
fGarch devel.
The root of Rmetrics is at R-forge.
Installing fGarch
Install the latest stable version of
fGarch from CRAN:
install.packages("fGarch")You can install the
development version
of fGarch from R-forge:
install.packages("fGarch", repos = "http://R-Forge.R-project.org")To report bugs visit Rmetrics.
Documentation
You can view the documentation of fGarch at
fGarchDoc (rendered with pkgdown)
or download the
reference manual
of the latest release from CRAN.
A comprehensive overview of the models and conditional distributions employed in package
fGarch, along with worked examples, is available in the following paper by the original
authors of the package:
(This is an unpublished manuscript. Some online sources, confusingly, attribute it to JSS,
vol 55, issue 2, but this seems to have taken the placeholders VV and II in the heading
on the first page as being the Roman numbers 55 and 2.)