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GEVStableGarch: ARMA-GARCH/APARCH Models with Stable, GEV and GAt Innovations

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

Documentation:

Reference manual: GEVStableGarch.html , GEVStableGarch.pdf
Vignettes: Stable, GEV and GAt ARMA-APARCH models (source, R code)
A new innovation distribution: bimodal GEV from the bgev package (source, R code)
Monte Carlo simulation study (source, R code)

Downloads:

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

Linking:

Please use the canonical form https://CRAN.R-project.org/package=GEVStableGarch to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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