MSGARCH: Markov-Switching GARCH Models

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

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