Package: GEVStableGarch
Type: Package
Title: ARMA-GARCH/APARCH Models with Stable, GEV and GAt Innovations
Version: 2.0.0
Date: 2026-09-28
Authors@R: c(
    person("Thiago", "do Rego Sousa", role = c("aut", "cre"),
           email = "thiagodoregosousa@gmail.com"),
    person("Cira", "Otiniano", role = "ctb", email = "cira@unb.br"),
    person("Silvia", "Lopes", role = "ctb", email = "silviarc.lopes@gmail.com"),
    person("Diethelm", "Wuertz", role = c("ctb", "cph"),
           email = "wuertz@itp.phys.ethz.ch",
           comment = "filter and model structure adapted from fGarch"))
Description: 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.
License: GPL (>= 2)
URL: https://github.com/thiagodoregosousa/GEVStableGarch
BugReports: https://github.com/thiagodoregosousa/GEVStableGarch/issues
Depends: R (>= 4.1.0)
Imports: libstable4u, Rsolnp, stats, utils
Suggests: bgev, fGarch, ggplot2, knitr, rmarkdown, stabledist, testthat
        (>= 3.0.0)
VignetteBuilder: knitr
Config/testthat/edition: 3
Encoding: UTF-8
RoxygenNote: 8.0.0
NeedsCompilation: no
Packaged: 2026-10-21 17:41:45 UTC; r1920107
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@gmail.com>
Repository: CRAN
Date/Publication: 2026-11-03 15:40:09 UTC
Built: R 4.5.2; ; 2026-11-03 17:02:50 UTC; unix
