Analyze and model heteroskedastic behavior in financial time series with GARCH, APARCH and related models.
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:
You can install the development version of
fGarch from R-forge:
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(This is an unpublished manuscript.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
II in the heading on the first page as being the Roman numbers 55 and 2.)