Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2017) .

Documentation

Manual: MSGARCH.pdf
Vignette: None available.

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

Author(s): David Ardia*, Keven Bluteau*, Kris Boudt*, Leopoldo Catania*, 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, coda, methods, zoo, expm, fanplot, MASS, numDeriv
Suggests mcmc, testthat
Enhances
Linking to Rcpp, RcppArmadillo
Reverse
depends
Reverse
imports
Reverse
suggests
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enhances
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linking to

Package MSGARCH
Materials
URL https://github.com/keblu/MSGARCH
Task Views Finance
Version 1.2
Published 2017-10-19
License GPL (>= 2)
BugReports https://github.com/keblu/MSGARCH/issues
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks MSGARCH check results
Package source MSGARCH_1.2.tar.gz