Other packages > Find by keyword >

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 06 Aug. 2026.
Previous versions and publish date:
(2026-07-09 07:37), 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
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  
TMDb  
Access to TMDb API
Provides an R-interface to the TMDb API (see TMDb API on < ...
Download / Learn more Package Citations See dependency  
SAMBA  
Selection and Misclassification Bias Adjustment for Logistic Regression Models
Health research using data from electronic health records (EHR) has gained popularity, but miscla ...
Download / Learn more Package Citations See dependency  
RRedshiftSQL  
R Interface to the 'Redshift' Database
Superclasses 'PostgreSQL' connection to help enable full 'dplyr' functionality on 'Redshift'. ...
Download / Learn more Package Citations See dependency  
lsmeans  
Least-Squares Means
Obtain least-squares means for linear, generalized linear, and mixed models. Compute contrasts or l ...
Download / Learn more Package Citations See dependency  

28,083

R Packages

239,283

Dependencies

74,457

Author Associations

28,084

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA