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MSGARCH: Markov-Switching GARCH Models
Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2019) <doi:10.18637/jss.v091.i04>.
| Version: |
2.51 |
| Imports: |
Rcpp, coda, methods, zoo, expm, fanplot, MASS, numDeriv |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
mcmc, testthat |
| Published: |
2022-12-05 |
| Author: |
David Ardia  [aut],
Keven Bluteau
[aut, cre],
Kris Boudt [ctb],
Leopoldo Catania
[aut],
Alexios Ghalanos [ctb],
Brian Peterson [ctb],
Denis-Alexandre Trottier [aut] |
| Maintainer: |
Keven Bluteau <Keven.Bluteau at usherbrooke.ca> |
| BugReports: |
https://github.com/keblu/MSGARCH/issues |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| Copyright: |
see file COPYRIGHTS |
| URL: |
https://github.com/keblu/MSGARCH |
| NeedsCompilation: |
yes |
| Citation: |
MSGARCH citation info |
| Materials: |
NEWS |
| In views: |
Finance |
| CRAN checks: |
MSGARCH results |
Documentation:
Downloads:
Reverse dependencies:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=MSGARCH
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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