R Observatory: Metrics for fEGarch version 1.0.6

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

fEGarch

1.0.6

SM/LM EGARCH & GARCH, VaR/ES Backtesting & Dual LM Extensions

0packages depend

4.6Kdownloads / year

47.9%test coverage

13/13checks pass

Overview

About

Maintained by Dominik SchulzFirst published 2025-06-117 releasesCRAN page ↗

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.

Install

R (CRAN)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("fEGarch", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-fegarch

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-fEGarch

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-fEGarch

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 16.4 min · r-patched-linux-x86_64

Code health

Yes

Tests · ratio 0.09

47.9%

Coverage · measured lines

99%

Documentation · exports

16

Dependencies · direct

Check history

OK2026-08-05
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-08-01
12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
OK2026-04-25
12 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-04-22
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
11 OK · 2 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE

Show 1 earlier snapshots

NOTE2026-03-10
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 1,855 wordsVignettesNopkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 98%
Documented parameters: 79%
Return-value docs: 100%
References docs: 25%

Downloads

4.6K

CRAN downloads in the past year

Rank #10,032 · ~12/day · ~380/mo

Releases R versions

Daily download trend is not available in this view yet.

21530 days

95490 days

4.6K1 year

Compare downloads with other packages →

Also on634 r2u19 autocran

Dependencies

Declared dependencies

16 external dependencies (excludes base and recommended)

Depends (2)

R >= 3.5methods

Imports (15)

Rcpp Rsolnp smoots esemifar zoostatsutilsrugarch future furrr rlang ggplot2 magrittr cli numDeriv

LinkingTo (2)

Rcpp RcppArmadillo

Suggests (1)

testthat

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

Datasets

People & History

People (7)

Maintainer (1)

Dominik Schulz

Author, Maintainer

Authors (4)

Author, Maintainer

Author

Author

Author

Contributors (3)

Thomas Gries

Contributor

Shujie Li

Contributor

Sikandar Siddiqui

Contributor

Package Timeline

7 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
1.0.6Latest
2026-02-10 · current release · diff ↗
1.0.5
2026-02-02 · diff ↗
1.0.4
2026-01-08 · diff ↗
1.0.3
2025-11-07 · diff ↗
1.0.2
2025-09-11 · diff ↗
1.0.1
2025-06-20 · diff ↗
1.0.0
2025-06-11
R
R 4.5.0 released · 2025-04-11

Package metadata

First published: 2025-06-11
Total releases: 7 / 1 yrs
License: GPL-3 OSI
Minimum R: ≥ 3.5
Bundled data: 58 KB / 2 files
Download size: 515 KB
Installed size: not tracked yet
With dependencies: not tracked yet

Appears in task views

Empirical Finance

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("fEGarch")

Format

Schulz, D., Ayensu, O. K., Feng, Y., Gries, T., Li, S., Peitz, C., & Siddiqui, S. (2026). fEGarch: SM/LM EGARCH & GARCH, VaR/ES Backtesting & Dual LM Extensions (Version 1.0.6) [Computer software]. https://doi.org/10.32614/CRAN.package.fEGarch

This is what citation() produces when a package has no citation file of its own. If it prints something else, use that.

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for fEGarch version 1.0.6 [Data set]. HJJB, LLC. Data release v2026-08-16. https://doi.org/10.5281/zenodo.21843040

From data release v2026-08-16, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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