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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 |
DOI: | 10.32614/CRAN.package.MSGARCH |
Author: | David Ardia |
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 |
Reference manual: | MSGARCH.pdf |
Package source: | MSGARCH_2.51.tar.gz |
Windows binaries: | r-devel: MSGARCH_2.51.zip, r-release: MSGARCH_2.51.zip, r-oldrel: MSGARCH_2.51.zip |
macOS binaries: | r-release (arm64): MSGARCH_2.51.tgz, r-oldrel (arm64): MSGARCH_2.51.tgz, r-release (x86_64): MSGARCH_2.51.tgz, r-oldrel (x86_64): MSGARCH_2.51.tgz |
Old sources: | MSGARCH archive |
Reverse imports: | MSGARCHelm, SBAGM |
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These binaries (installable software) and packages are in development.
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