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