MSGARCH v2.3

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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. (2017) <https://ssrn.com/abstract=2845809>.

Functions in MSGARCH

Name Description
PIT Probability integral transform.
PredPdf Predictive density.
ExtractStateFit Single-regime model extractor.
DIC Deviance Information Criterion (DIC).
Risk Value-at-Risk and Expected-shortfall.
simulate.MSGARCH_SPEC Simulation of MSGARCH processes.
MSGARCH-package The R package MSGARCH
State State probabilities.
TransMat Transition matrix.
CreateSpec Model specification.
FitML Maximum Likelihood estimation.
UncVol Unconditional volatility.
SMI Swiss market index dataset
Volatility Volatility filtering.
FitMCMC MCMC/Bayesian estimation.
predict.MSGARCH_SPEC predict method.
dem2gbp DEM/GBP exchange rate log-returns
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Details

Type Package
Date 2018-05-15
License GPL (>= 2)
BugReports https://github.com/keblu/MSGARCH/issues
URL https://github.com/keblu/MSGARCH
LinkingTo Rcpp, RcppArmadillo
RoxygenNote 6.0.1
NeedsCompilation yes
Packaged 2018-05-15 13:20:39 UTC; Keven
Repository CRAN
Date/Publication 2018-05-16 05:07:38 UTC

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