GEVStableGarch: ARMA-GARCH/APARCH models with GEV and stable distributions

Package for ARMA-GARCH or ARMA-APARCH modelling with GEV and stable conditional distributions.

Version: 1.0
Depends: R (≥ 2.15.0), fGarch, fExtremes, stabledist, skewt, Rsolnp
Enhances: stable
Published: 2014-03-16
Author: Thiago do Rego Sousa, Cira Etheowalda Guevara Otiniano and Silvia Regina Costa Lopes
Maintainer: Thiago do Rego Sousa <thiagoestatistico at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Citation: GEVStableGarch citation info
In views: Finance, TimeSeries
CRAN checks: GEVStableGarch results

Downloads:

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