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message: 'To cite package "fEGarch" in publications use:'
type: software
license: GPL-3.0-only
title: 'fEGarch: SM/LM EGARCH & GARCH, VaR/ES Backtesting & Dual LM Extensions'
version: 1.0.6
doi: 10.32614/CRAN.package.fEGarch
abstract: 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.
authors:
- family-names: Schulz
  given-names: Dominik
  email: dominik.schulz@uni-paderborn.de
- family-names: Feng
  given-names: Yuanhua
  email: yuanhua.feng@uni-paderborn.de
- family-names: Peitz
  given-names: Christian
- family-names: Ayensu
  given-names: Oliver Kojo
  email: oliver.kojo.ayensu@uni-paderborn.de
repository: https://dschulz13.r-universe.dev
commit: 80deeb1d7034f90e0a3d83929e672a2918e0390b
date-released: '2026-02-10'
contact:
- family-names: Schulz
  given-names: Dominik
  email: dominik.schulz@uni-paderborn.de