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.


1 Answer 1


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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