MSGARCH: Markov-Switching GARCH Models
Version 1.1

The MSGARCH package offers methods to fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2017) .

Package details

AuthorDavid Ardia [aut], Keven Bluteau [aut, cre], Kris Boudt [ctb], Leopoldo Catania [aut], Brian Peterson [ctb], Denis-Alexandre Trottier [aut]
Date of publication2017-09-14 16:10:11 UTC
MaintainerKeven Bluteau <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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MSGARCH documentation built on Sept. 14, 2017, 5:03 p.m.