Simulation, estimation and forecasting of autoregressive moving average (ARMA) models with generalized autoregressive conditional heteroskedasticity (GARCH) or asymmetric power ARCH (APARCH, with ARCH the autoregressive conditional heteroskedasticity model) errors, with stable (S0 parametrization), generalized extreme value (GEV) and generalized asymmetric t (GAt) innovations. The innovation distribution is a pluggable object, so user defined densities get the same fitting, simulation, stationarity and forecasting machinery.
| Version: | 2.0.0 |
| Depends: | R (≥ 4.1.0) |
| Imports: | libstable4u, Rsolnp, stats, utils |
| Suggests: | bgev, fGarch, ggplot2, knitr, rmarkdown, stabledist, testthat (≥ 3.0.0) |
| Published: | 2026-11-03 |
| DOI: | 10.32614/CRAN.package.GEVStableGarch |
| Author: | Thiago do Rego Sousa [aut, cre], Cira Otiniano [ctb], Silvia Lopes [ctb], Diethelm Wuertz [ctb, cph] (filter and model structure adapted from fGarch) |
| Maintainer: | Thiago do Rego Sousa <thiagodoregosousa at gmail.com> |
| BugReports: | https://github.com/thiagodoregosousa/GEVStableGarch/issues |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://github.com/thiagodoregosousa/GEVStableGarch |
| NeedsCompilation: | no |
| Citation: | GEVStableGarch citation info |
| Materials: | NEWS |
| CRAN checks: | GEVStableGarch results |
| Package source: | GEVStableGarch_2.0.0.tar.gz |
| Windows binaries: | r-devel: not available, r-release: GEVStableGarch_2.0.0.zip, r-oldrel: GEVStableGarch_2.0.0.zip |
| macOS binaries: | r-release (arm64): GEVStableGarch_2.0.0.tgz, r-oldrel (arm64): GEVStableGarch_2.0.0.tgz, r-release (x86_64): GEVStableGarch_2.0.0.tgz, r-oldrel (x86_64): GEVStableGarch_2.0.0.tgz |
| Old sources: | GEVStableGarch archive |
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