The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.
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.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 |
Please use the canonical form https://CRAN.R-project.org/package=fEGarch 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.
Health stats visible at Monitor.