GEVStableGarch: ARMA-GARCH/APARCH Models with GEV and Stable Distributions

Package for simulation and estimation of ARMA-GARCH/APARCH models with GEV and stable distributions.

Version: 1.1
Depends: R (≥ 2.15.0), Rsolnp, methods, skewt
Imports: fGarch, fExtremes, stabledist, timeDate, timeSeries
Enhances: stable
Published: 2015-08-20
Author: Thiago Sousa [aut, cre], Cira Otiniano [ctb], Silvia Lopes [ctb], Diethelm Wuertz [ctb, cph]
Maintainer: Thiago Sousa <thiagoestatistico at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Citation: GEVStableGarch citation info
Materials: ChangeLog
In views: Finance
CRAN checks: GEVStableGarch results


Reference manual: GEVStableGarch.pdf
Package source: GEVStableGarch_1.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Snow Leopard binaries: r-release: GEVStableGarch_1.1.tgz, r-oldrel: GEVStableGarch_1.0.tgz
OS X Mavericks binaries: r-release: GEVStableGarch_1.1.tgz
Old sources: GEVStableGarch archive