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.

Getting started

Package details

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
Installation Install the latest version of this package by entering the following in R:
install.packages("MSGARCH")

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MSGARCH documentation built on May 30, 2017, 7:02 a.m.