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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) .

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Version

Install

install.packages('MSGARCH')

Monthly Downloads

622

Version

2.3

License

GPL (>= 2)

Issues

13

Pull Requests

0

Stars

80

Forks

29

Maintainer

Keven Bluteau

Last Published

May 16th, 2018

Functions in MSGARCH (2.3)

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