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