The MSGARCH package offers methods to fit (by Maximum Likelihood or Bayesian), simulate, and forecast various Markov-Switching GARCH processes.

Documentation

Manual: MSGARCH.pdf
Vignette: None available.

Maintainer: Keven Bluteau <Keven.Bluteau at unine.ch>

Author(s): David Ardia*, Keven Bluteau*, Kris Boudt*, Brian Peterson*, Denis-Alexandre Trottier*

Install package and any missing dependencies by running this line in your R console:

install.packages("MSGARCH")

Depends
Imports Rcpp, adaptMCMC, nloptr, DEoptim, methods, stringr, ggplot2, reshape2, zoo, expm, fanplot, dfoptim
Suggests
Enhances
Linking to Rcpp, RcppArmadillo
Reverse
depends
Reverse
imports
Reverse
suggests
Reverse
enhances
Reverse
linking to

Package MSGARCH
Materials
URL
Task Views Finance
Version 0.17.7
Published 2017-01-09
License GPL (>= 2)
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks MSGARCH check results
Package source MSGARCH_0.17.7.tar.gz