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MSGARCH (version 1.3)
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. (2017)
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Install
install.packages('MSGARCH')
Monthly Downloads
662
Version
1.3
License
GPL (>= 2)
Issues
13
Pull Requests
0
Stars
80
Forks
29
Repository
https://github.com/keblu/MSGARCH
Maintainer
Keven Bluteau
Last Published
October 26th, 2017
Functions in MSGARCH (1.3)
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PIT
Probability integral transform.
MSGARCH-package
The R package MSGARCH
DIC
Deviance Information Criterion (DIC).
AIC
Akaike information criterion (AIC).
ExtractStateFit
Single-regime model extractor.
Forecast
Forecasting method.
FitML
Maximum Likelihood estimation.
BIC
Bayesian information criterion (BIC).
CreateSpec
Model specification.
TransMat
Transition matrix.
FitMCMC
MCMC/Bayesian estimation.
Sim
Simulation of MSGARCH processes.
UncVol
Unconditional volatility.
State
State probabilities.
Pred
Predictive density.
Risk
Value-at-Risk and Expected-shortfall.
dem2gbp
DEM/GBP exchange rate log-returns
SMI
Swiss market index dataset
Volatility
Volatility filtering.
