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Implement and fit a variety of short-memory (SM) and long-memory (LM) models from a very broad family of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models, such as a MEGARCH (modified EGARCH), FIEGARCH (fractionally integrated EGARCH), FIMLog-GARCH (fractionally integrated modulus Log-GARCH), and more. The FIMLog-GARCH as part of the EGARCH family is discussed in Feng et al. (2023) <https://econpapers.repec.org/paper/pdnciepap/156.htm>. For convenience and the purpose of comparison, a variety of other popular SM and LM GARCH-type models, like an APARCH model, a fractionally integrated APARCH (FIAPARCH) model, standard GARCH and fractionally integrated GARCH (FIGARCH) models, GJR-GARCH and FIGJR-GARCH models, TGARCH and FITGARCH models, are implemented as well as dual models with simultaneous modelling of the mean, including dual long-memory models with a fractionally integrated autoregressive moving average (FARIMA) model in the mean and a long-memory model in the variance, and semiparametric volatility model extensions. Parametric models and parametric model parts are fitted through quasi-maximum-likelihood estimation. Furthermore, common forecasting and backtesting functions for value-at-risk (VaR) and expected shortfall (ES) based on the package's models are provided.
| Version: | 1.0.1 |
| Depends: | R (≥ 3.5), methods |
| Imports: | Rcpp (≥ 1.0.9), Rsolnp, smoots, esemifar, zoo, stats, utils, rugarch, future, furrr, rlang, ggplot2, magrittr, cli, numDeriv |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2025-06-20 |
| DOI: | 10.32614/CRAN.package.fEGarch |
| Author: | Dominik Schulz [aut, cre] (Paderborn University, Germany), Yuanhua Feng [aut] (Paderborn University, Germany), Christian Peitz [aut] (Financial Intelligence Unit (German Government)), Oliver Kojo Ayensu [aut] (Paderborn University, Germany), Thomas Gries [ctb] (Paderborn University, Germany), Sikandar Siddiqui [ctb] (Deloitte Audit Analytics GmbH, Frankfurt, Germany), Shujie Li [ctb] (Paderborn University, Germany) |
| Maintainer: | Dominik Schulz <dominik.schulz at uni-paderborn.de> |
| License: | GPL-3 |
| NeedsCompilation: | yes |
| Materials: | README, NEWS |
| In views: | Finance |
| CRAN checks: | fEGarch results |
| Reference manual: | fEGarch.html , fEGarch.pdf |
| Package source: | fEGarch_1.0.1.tar.gz |
| Windows binaries: | r-devel: fEGarch_1.0.1.zip, r-release: fEGarch_1.0.1.zip, r-oldrel: fEGarch_1.0.1.zip |
| macOS binaries: | r-release (arm64): fEGarch_1.0.1.tgz, r-oldrel (arm64): fEGarch_1.0.1.tgz, r-release (x86_64): fEGarch_1.0.1.tgz, r-oldrel (x86_64): fEGarch_1.0.1.tgz |
| Old sources: | fEGarch archive |
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These binaries (installable software) and packages are in development.
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