fEGarch
SM/LM EGARCH & GARCH, VaR/ES Backtesting & Dual LM Extensions
Description
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.
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CRAN Check Status
Show all 14 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | NOTE |
| r-oldrel-macos-x86_64 | NOTE |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (2 non-OK)
installed package size
installed size is 9.8Mb
sub-directories of 1Mb or more:
libs 8.3Mb
installed package size
installed size is 11.1Mb
sub-directories of 1Mb or more:
libs 9.5Mb
Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
installed package size
installed size is 9.8Mb
sub-directories of 1Mb or more:
libs 8.3Mb
installed package size
installed size is 11.1Mb
sub-directories of 1Mb or more:
libs 9.5Mb