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MSGARCHelm: Hybridization of MS-GARCH and ELM Model

Implements the three parallel forecast combinations of Markov Switching GARCH and extreme learning machine model along with the selection of appropriate model for volatility forecasting. For method details see Hsiao C, Wan SK (2014). <doi:10.1016/j.jeconom.2013.11.003>, Hansen BE (2007). <doi:10.1111/j.1468-0262.2007.00785.x>, Elliott G, Gargano A, Timmermann A (2013). <doi:10.1016/j.jeconom.2013.04.017>.

Version: 0.1.0
Depends: R (≥ 3.6)
Imports: nnfor, MSGARCH, forecast
Published: 2020-10-08
DOI: 10.32614/CRAN.package.MSGARCHelm
Author: Rajeev Ranjan Kumar [aut, cre], Girish Kumar Jha [aut, ths, ctb], Neeraj Budhlakoti [ctb]
Maintainer: Rajeev Ranjan Kumar <rrk.uasd at gmail.com>
License: GPL-3
NeedsCompilation: no
CRAN checks: MSGARCHelm results

Documentation:

Reference manual: MSGARCHelm.pdf

Downloads:

Package source: MSGARCHelm_0.1.0.tar.gz
Windows binaries: r-devel: MSGARCHelm_0.1.0.zip, r-release: MSGARCHelm_0.1.0.zip, r-oldrel: MSGARCHelm_0.1.0.zip
macOS binaries: r-release (arm64): MSGARCHelm_0.1.0.tgz, r-oldrel (arm64): MSGARCHelm_0.1.0.tgz, r-release (x86_64): MSGARCHelm_0.1.0.tgz, r-oldrel (x86_64): MSGARCHelm_0.1.0.tgz

Linking:

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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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