Fitting EGARCH Models in R with Alternative Packages

Summary

The question asks whether the R package fGarch can fit an EGARCH(1,1) model through its garchFit interface, whose example specifies a conventional GARCH model and allows lag lengths to be changed. The response says that, to the author's knowledge, this is not supported through fGarch alone and points instead to the ruGarch package as an option for fitting EGARCH.

The exchange provides a package-level pointer rather than a modeling tutorial. It gives no code for the alternative package, no estimation settings, and no comparison of implementations, so users should consult current package documentation to confirm supported specifications and syntax.

Key ideas

• Changing lag lengths in a standard GARCH specification does not by itself make the model EGARCH.
• The answer suggests ruGarch for fitting EGARCH models in R.
• The package recommendation is brief and should be checked against current documentation.

Tags

# EGARCH fitting in R


# EGARCH fitting in R












I am using the `fGarch` package in R to analyze stock volatility. To do this I am using the `garchFit` formula on my time series. The general form of `garchFit` is:

```
garchFit(formula = ~ garch(1, 1), data = dem2gbp,
init.rec = c("mci", "uev"),
delta = 2, skew = 1, shape = 4,
cond.dist = c("norm", "snorm", "ged", "sged", "std", "sstd",
"snig", "QMLE")
```

I was wondering if there is a way to adapt the formula so that I can fit an `EGARCH(1, 1)`. Currently I am only able to change the lag lengths `a` and `b`.

## Answer by Bob Jansen (score 1)

https://quant.stackexchange.com/a/34399

As far as I'm aware this is not possible with just `fGarch` but is with the ruGarch package. See this question on StackOverflow for a discussion and more information.

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