fEGarch: Estimation of a Broad Family of EGARCH Models
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.
| Version: |
1.0.0 |
| 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: |
2025-06-11 |
| DOI: |
10.32614/CRAN.package.fEGarch |
| 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 |
| In views: |
Finance |
| CRAN checks: |
fEGarch results |
Documentation:
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