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MSGARCH: 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. (2019) <doi:10.18637/jss.v091.i04>.
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Package details |
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| Author | David Ardia [aut] (<https://orcid.org/0000-0003-2823-782X>), Keven Bluteau [aut, cre] (<https://orcid.org/0000-0003-2990-4807>), Kris Boudt [ctb] (<https://orcid.org/0000-0002-1000-5142>), Leopoldo Catania [aut] (<https://orcid.org/0000-0002-0981-1921>), Alexios Ghalanos [ctb], Brian Peterson [ctb], Denis-Alexandre Trottier [aut] |
| Maintainer | Keven Bluteau <Keven.Bluteau@usherbrooke.ca> |
| License | GPL (>= 2) |
| Version | 2.51 |
| URL | https://github.com/keblu/MSGARCH |
| Package repository | View on CRAN |
| Installation |
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