MSGARCH: Markov-Switching GARCH Models
Version 0.17.7

The MSGARCH package offers methods to fit (by Maximum Likelihood or Bayesian), simulate, and forecast various Markov-Switching GARCH processes.

AuthorDavid Ardia [aut], Keven Bluteau [aut, cre], Kris Boudt [ctb], Brian Peterson [ctb], Denis-Alexandre Trottier [aut]
Date of publication2017-01-09 21:45:58
MaintainerKeven Bluteau <Keven.Bluteau@unine.ch>
LicenseGPL (>= 2)
Version0.17.7
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("MSGARCH")

Popular man pages

AMZN: Log return of Amazon inc. closing Value
BIC: Compute Bayesian information criterion (BIC).
create.spec: Model specification
crps: CRPS (continuous ranked probability score) measure.
DIC: Compute Deviance Information Criterion (DIC).
pdf: Probability density function.
risk: Value-at-Risk And Expected-shortfall.
See all...

All man pages Function index File listing

Man pages

AIC: Compute Akaike information criterion (AIC).
AMZN: Log return of Amazon inc. closing Value
BIC: Compute Bayesian information criterion (BIC).
cdf: Cumulative function.
create.spec: Model specification
crps: CRPS (continuous ranked probability score) measure.
DIC: Compute Deviance Information Criterion (DIC).
fit.bayes: Bayesian estimation.
fit.mle: ML estimation.
ht: Conditional variance in each regime.
kernel: Kernel function.
pdf: Probability density function.
pit: Probability Integral Transform.
pred: Predictive function.
Pstate: Filtered state probabilities.
risk: Value-at-Risk And Expected-shortfall.
sim: Process simulation method.
simahead: Step ahead simulation method.
sp500: Log return of the S&P 500 index closing Value
transmat: Transition Matrix.
unc.vol: Unconditional volatility of each regime.

Functions

Files

inst
inst/CITATION
inst/COPYRIGHTS
src
src/MSgarch.cpp
src/gjrGARCH.cpp
src/Gas.cpp
src/Egarch.cpp
src/Tgarch.cpp
src/MSgarch.h
src/sGARCH.cpp
src/spec.h
src/SingleRegime.h
NAMESPACE
NEWS
data
data/sp500.rda
data/AMZN.rda
R
R/ht.R
R/simahead.R
R/DIC.R
R/utils.R
R/crps.R
R/MSGARCH.R
R/AIC.R
R/BIC.R
R/mle.R
R/cdf.R
R/unc.vol.R
R/create.spec.R
R/risk.R
R/print.R
R/bayes.R
R/kernel.R
R/sim.R
R/transmat.R
R/f.theta.mixture.R
R/pit.R
R/spec.R
R/pred.R
R/findParameters.R
R/pdf.R
R/Pstate.R
R/zzz.R
R/f.theta.IndDist.R
MD5
DESCRIPTION
THANKS
man
man/AIC.Rd
man/simahead.Rd
man/pdf.Rd
man/crps.Rd
man/DIC.Rd
man/fit.mle.Rd
man/risk.Rd
man/fit.bayes.Rd
man/unc.vol.Rd
man/kernel.Rd
man/cdf.Rd
man/ht.Rd
man/transmat.Rd
man/Pstate.Rd
man/create.spec.Rd
man/sp500.Rd
man/pred.Rd
man/AMZN.Rd
man/pit.Rd
man/BIC.Rd
man/sim.Rd
MSGARCH documentation built on May 20, 2017, 4:42 a.m.

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