MSGARCH v2.3
0
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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 | |
| No Results! | ||
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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 |
| imports | coda , expm , fanplot , MASS , methods , numDeriv , Rcpp , zoo |
| suggests | mcmc , testthat |
| linkingto | RcppArmadillo |
| Contributors | Brian G Peterson, Alexios Ghalanos, Denis-Alexandre Trottier, Kris Boudt, David Ardia, Leopoldo Catania |
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