RDocumentation
Moon
Learn R
Search all packages and functions
⚠️
There's a newer version (2.51) of this package.
Take me there.
MSGARCH (version 2.3)
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)
.
Copy Link
Copy
Link to current version
Version
Version
2.51
2.50
2.42
2.31
2.3
2.1
2.0
1.3
1.2
1.1
0.17.7
0.17
0.16
Down Chevron
Install
install.packages('MSGARCH')
Monthly Downloads
523
Version
2.3
License
GPL (>= 2)
Issues
12
Pull Requests
0
Stars
77
Forks
28
Repository
https://github.com/keblu/MSGARCH
Maintainer
Keven Bluteau
Last Published
May 16th, 2018
Functions in MSGARCH (2.3)
Search functions
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