The Semi Parametric Piecewise Distribution blends the Generalized Pareto Distribution for the tails with a kernel based interior.
The Semi-Parametric Distribution is a piecewise distribution constructed by parametrically modelling the tails of the distribution using an appropriate distribution (the generalized pareto is used here) and the interior by kernel methods. The package implements fit, distribution, density, quantile and random number generation. It is actively used in both the rugarch and rmgarch packages.
The stable version is on CRAN.