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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 |
| DOI: |
10.32614/CRAN.package.MSGARCH |
| 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
to link to this page.
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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