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MSGARCH (version 2.51)
Markov-Switching GARCH Models
Description
Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2019)
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2.51
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Install
install.packages('MSGARCH')
Monthly Downloads
523
Version
2.51
License
GPL (>= 2)
Issues
11
Pull Requests
0
Stars
76
Forks
28
Repository
https://github.com/keblu/MSGARCH
Maintainer
Keven Bluteau
Last Published
December 5th, 2022
Functions in MSGARCH (2.51)
Search functions
DIC
Deviance Information Criterion (DIC).
PredPdf
Predictive density.
FitMCMC
MCMC/Bayesian estimation.
CreateSpec
Model specification.
FitML
Maximum Likelihood estimation.
MSGARCH-package
The R package MSGARCH
PIT
Probability integral transform.
SMI
Swiss market index dataset
Risk
Value-at-Risk and Expected-shortfall.
ExtractStateFit
Single-regime model extractor.
UncVol
Unconditional volatility.
simulate.MSGARCH_SPEC
Simulation of MSGARCH processes.
TransMat
Transition matrix.
State
State probabilities.
Volatility
Volatility filtering.
dem2gbp
DEM/GBP exchange rate log-returns
predict.MSGARCH_SPEC
predict method.