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fEGarch  

SM/LM EGARCH & GARCH, VaR/ES Backtesting & Dual LM Extensions
View on CRAN: Click here


Download and install fEGarch package within the R console
Install from CRAN:
install.packages("fEGarch")

Install from Github:
library("remotes")
install_github("cran/fEGarch")

Install by package version:
library("remotes")
install_version("fEGarch", "1.0.4")



Attach the package and use:
library("fEGarch")
Maintained by
Dominik Schulz
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-06-11
Latest Update: 2025-06-20
Description:
Implement and fit a variety of 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 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. Models are fitted through quasi-maximum-likelihood estimation.
How to cite:
Dominik Schulz (2025). fEGarch: SM/LM EGARCH & GARCH, VaR/ES Backtesting & Dual LM Extensions. R package version 1.0.4, https://cran.r-project.org/web/packages/fEGarch. Accessed 09 Mar. 2026.
Previous versions and publish date:
1.0.0 (2025-06-11 14:40), 1.0.1 (2025-06-20 18:00), 1.0.2 (2025-09-11 12:00), 1.0.3 (2025-11-07 14:10), 1.0.4 (2026-01-08 01:20), 1.0.5 (2026-02-02 15:40)
Other packages that cited fEGarch R package
View fEGarch citation profile
Other R packages that fEGarch depends, imports, suggests or enhances
Complete documentation for fEGarch
Functions, R codes and Examples using the fEGarch R package
Full fEGarch package functions and examples
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