Package: fEGarch 1.0.6
Dominik Schulz
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.
Authors:
fEGarch_1.0.6.tar.gz
fEGarch_1.0.6.tar.gz(r-4.7-arm64)fEGarch_1.0.6.tar.gz(r-4.7-x86_64)fEGarch_1.0.6.tar.gz(r-4.6-arm64)fEGarch_1.0.6.tar.gz(r-4.6-x86_64)
fEGarch_1.0.6.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
fEGarch/json (API)
NEWS
| # Install 'fEGarch' in R: |
| install.packages('fEGarch', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
- SP500 - Daily Log-Returns of the S&P 500
- UKinflation - Monthly Inflation Rate of the UK
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated from:80deeb1d70. Checks:6 OK. Indexed: no.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 279 | ||
| linux-devel-x86_64 | OK | 304 | ||
| source / vignettes | OK | 273 | ||
| linux-release-arm64 | OK | 293 | ||
| linux-release-x86_64 | OK | 317 | ||
| wasm-release | OK | 224 |
Exports:%>%ald_estaparchaparch_ruaparch_simautoplotbacktest_suiteboundary_methodboundary_method<-bwidthbwidth<-close_to_lreturncmeanscond_cov_testcond_distcond_dist<-cov_testsdistr_estegarch_ruegarch_specegarch_type_specES_calcetatfEGarchfEGarch_simfEGarch_specfiaparchfiaparch_simfiegarch_specfigarchfigarch_simfigjrgarchfigjrgarch_simfiloggarch_specfimegarch_specfimloggarch_specfind_distfit_test_suitefitgarchfitgarch_simfittedgarchgarch_simgarchm_estimged_estgjrgarchgjrgarch_rugjrgarch_simgoodn_of_fit_testinclude_meaninclude_mean<-indep_testinf_criteriakernel_orderkernel_order<-ljung_box_testllhoodlocpol_specloggarch_specloggarch_type_speclong_memolong_memo<-loss_functionsmean_specmeasure_riskmegarch_specmloggarch_specmodulusmodulus<-norm_estordersorders<-parsplotpoly_orderpoly_order<-powerspowers<-predictpredict_rollrald_sresidualsrged_srnorm_srsald_srsged_srsnorm_srsstd_srstd_ssald_estsesged_estshowsigmasign_bias_testsigtsnorm_estsstd_eststd_esttgarchtgarch_simtrafflight_testuncond_cov_testVaR_calcvcov_matWAD
Dependencies:chronclicodetoolscpp11crayondigestDistributionUtilsesemifarfarverFNNfracdifffurrrfuturefuture.applyGeneralizedHyperbolicggplot2globalsgluegtablehmsisobandkernlabKernSmoothkslabelinglatticelifecyclelistenvmagrittrMASSMatrixmclustmgcvmulticoolmvtnormnlmenloptrnumDerivparallellypkgconfigpracmaprettyunitsprogressprogressrpurrrR6RColorBrewerRcppRcppArmadillorlangRsolnprugarchS7scalesSkewHyperbolicsmootsspdtruncnormvctrsviridisLitewithrxtszoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Estimation of a Broad Family of EGARCH Models | fEGarch-package |
| Methods for Accessing Model Estimation and Forecasting Output Elements | accessor_methods cmeans,fEGarch_fit-method cmeans,fEGarch_forecast-method etat,fEGarch_fit-method inf_criteria,fEGarch_fit-method llhood,fEGarch_fit-method pars,fEGarch_fit-method se,fEGarch_fit-method sigt,fEGarch_fit-method sigt,fEGarch_forecast-method vcov_mat,fEGarch_fit-method |
| APARCH Model Fitting | aparch |
| Simulate From APARCH Models | aparch_sim |
| Plot Method for Fitting Step Results in the Style of ggplot2 | autoplot,fEGarch_fit-method |
| Plotting of Risk Measure Results ('ggplot2') | autoplot,fEGarch_risk-method |
| Log-Return Calculation From Closing Prices | close_to_lreturn |
| MLE for Distribution Fitting | ald_est distr_est ged_est norm_est sald_est sged_est snorm_est sstd_est std_est |
| Subspecification of EGARCH Family Models | egarch_type_spec loggarch_type_spec |
| Fitting Function for Models of the Broader EGARCH Family | fEGarch |
| Simulate From Models of the Broader EGARCH Family | fEGarch_sim |
| General EGARCH Family Model Specification | fEGarch_spec |
| FIAPARCH Model Fitting | fiaparch |
| Simulate From FIAPARCH Models | fiaparch_sim |
| FIGARCH Model Fitting | figarch |
| Simulate From FIGARCH Models | figarch_sim |
| FIGJR-GARCH Model Fitting | figjrgarch |
| Simulate From FIGJR-GARCH Models | figjrgarch_sim |
| Optimal Distribution Fitting to IID Data | find_dist |
| Post-Estimation Fit-Tests | fit_test_suite,fEGarch_fit-method |
| FITGARCH Model Fitting | fitgarch |
| Simulate From FITGARCH Models | fitgarch_sim |
| Generics for Accessing Model Estimation Output Elements | cmeans cmeans,ANY-method etat etat,ANY-method fitted_object_generics inf_criteria inf_criteria,ANY-method llhood llhood,ANY-method pars pars,ANY-method se se,ANY-method sigt sigt,ANY-method vcov_mat vcov_mat,ANY-method |
| Extract Fitted Conditional Means | fitted,fEGarch_fit-method fitted,fEGarch_forecast-method |
| GARCH Model Fitting | garch |
| Simulate From GARCH Models | garch_sim |
| General GARCH-Type Model Estimation | garchm_estim |
| GJR-GARCH Model Fitting | gjrgarch |
| Simulate From GJR-GARCH Models | gjrgarch_sim |
| Adjusted Pearson Goodness-of-Fit Test for Standardized Model Residuals | goodn_of_fit_test,fEGarch_fit-method |
| Methods for Accessing Distribution Estimation Elements | inf_criteria,fEGarch_distr_est-method llhood,fEGarch_distr_est-method pars,fEGarch_distr_est-method se,fEGarch_distr_est-method vcov_mat,fEGarch_distr_est-method |
| Goodness-of-Fit Test Generics | fit_test_suite goodn_of_fit_test ljung_box_test sign_bias_test |
| Weighted Ljung-Box Test for Autocorrelation | ljung_box_test,fEGarch_fit-method |
| Specification of Nonparametric Local Polynomial Models | locpol_spec |
| Accessors for Class '"locpol_spec"' | boundary_method,locpol_spec-method boundary_method<-,locpol_spec-method bwidth,locpol_spec-method bwidth<-,locpol_spec-method kernel_order,locpol_spec-method kernel_order<-,locpol_spec-method locpol_spec_methods poly_order,locpol_spec-method poly_order<-,locpol_spec-method |
| Generic for Loss Function Calculation | loss_functions |
| Loss Function Calculation | loss_functions,fEGarch_risk-method |
| Specification of Conditional Mean Models | mean_spec |
| Accessors for Class '"mean_spec"' | include_mean,mean_spec-method include_mean<-,mean_spec-method long_memo,mean_spec-method long_memo<-,mean_spec-method mean_spec_methods orders,mean_spec-method orders<-,mean_spec-method |
| VaR and ES Computation Following Fitted Models or Forecasts | measure_risk measure_risk,fEGarch_distr_est-method measure_risk,fEGarch_fit-method measure_risk,fEGarch_forecast-method |
| S4 Plot Generic | plot |
| Plot Method for Showing Fitting Step Results | plot,fEGarch_fit,ANY-method plot,fEGarch_fit-method |
| Plotting of Risk Measure Results (Base R) | plot,fEGarch_risk,ANY-method plot,fEGarch_risk-method |
| Generics for Nonparametric Smoothing Setting Adjustments | boundary_method boundary_method<- bwidth bwidth<- kernel_order kernel_order<- poly_order poly_order<- |
| Generics for Forecasts | predict_roll |
| Multistep and Rolling Point Forecasts | predict,fEGarch_fit-method predict_roll,fEGarch_fit-method |
| Extract Standardized Residuals | residuals,fEGarch_fit-method |
| Wrapper Functions for Selected 'rugarch' GARCH Models | aparch_ru egarch_ru gjrgarch_ru rugarch_wrappers |
| Show Method for Estimation Output | show,fEGarch_distr_est-method show,fEgarch_distr_est-method show,fEGarch_fit_aparch-method show,fEgarch_fit_aparch-method show,fEGarch_fit_egarch-method show,fEGarch_fit_fiaparch-method show,fEgarch_fit_fiaparch-method show,fEGarch_fit_figarch-method show,fEgarch_fit_figarch-method show,fEGarch_fit_figjrgarch-method show,fEgarch_fit_figjrgarch-method show,fEGarch_fit_fitgarch-method show,fEgarch_fit_fitgarch-method show,fEGarch_fit_garch-method show,fEgarch_fit_garch-method show,fEGarch_fit_gjrgarch-method show,fEgarch_fit_gjrgarch-method show,fEGarch_fit_loggarch-method show,fEgarch_fit_loggarch-method show,fEGarch_fit_rugarch_wrapper-method show,fEgarch_fit_rugarch_wrapper-method show,fEGarch_fit_tgarch-method show,fEgarch_fit_tgarch-method |
| Extract Fitted Conditional Standard Deviations | sigma,fEGarch_fit-method sigma,fEGarch_forecast-method |
| Sign Bias Test | sign_bias_test,fEGarch_fit-method |
| Sampling Functions for Innovations | rald_s rged_s rnorm_s rsald_s rsged_s rsnorm_s rsstd_s rstd_s sim_functions |
| Daily Log-Returns of the S&P 500 | SP500 |
| Generics for Model Specification Accessors | cond_dist cond_dist,ANY-method cond_dist<- include_mean include_mean,ANY-method include_mean<- long_memo long_memo,ANY-method long_memo<- modulus modulus,ANY-method modulus<- orders orders,ANY-method orders<- powers powers,ANY-method powers<- spec_generics |
| Accessors for Classes '"base_garch_spec"' and '"egarch_spec"' | cond_dist,base_garch_spec-method cond_dist<-,base_garch_spec-method long_memo,base_garch_spec-method long_memo<-,base_garch_spec-method modulus,egarch_type_spec-method modulus<-,egarch_type_spec-method orders,base_garch_spec-method orders<-,base_garch_spec-method powers,egarch_type_spec-method powers<-,egarch_type_spec-method spec_methods |
| EGARCH Family Submodel Specification | egarch_spec fiegarch_spec filoggarch_spec fimegarch_spec fimloggarch_spec loggarch_spec megarch_spec mloggarch_spec submodel-specs |
| TGARCH Model Fitting | tgarch |
| Simulate From TGARCH Models | tgarch_sim |
| Generics for backtests | backtest_suite cond_cov_test cov_tests indep_test trafflight_test uncond_cov_test WAD |
| Backtesting VaR and ES | backtest_suite,fEGarch_risk-method cond_cov_test,fEGarch_risk-method cov_tests,fEGarch_risk-method indep_test,fEGarch_risk-method trafflight_test,fEGarch_risk-method uncond_cov_test,fEGarch_risk-method WAD,fEGarch_risk-method |
| Monthly Inflation Rate of the UK | UKinflation |
| VaR and ES Computation for Standardized Distributions | ES_calc VaR_calc |
