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.
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.
You can view the documentation of fGarch at fGarchDoc 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(This is an unpublished manuscript.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.)