MSGARCH: Markov-Switching GARCH Models

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

Author
Keven Bluteau [aut, cre], David Ardia [aut], Denis-Alexandre Trottier [aut], Kris Boudt [ctb], Brian Peterson [ctb]
Date of publication
2016-10-30 01:01:48
Maintainer
Keven Bluteau <Keven.Bluteau@unine.ch>
License
GPL (>= 2)
Version
0.17

View on CRAN

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
DIC
Compute Deviance Information Criterion (DIC).
fit.bayes
Bayesian estimation.
fit.mle
ML estimation.
ht
Conditional variance in each regime.
kernel
Kernel function.
MSGARCH-package
The R package MSGARCH
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.

Files in this package

MSGARCH
MSGARCH/inst
MSGARCH/inst/CITATION
MSGARCH/inst/COPYRIGHTS
MSGARCH/inst/doc
MSGARCH/inst/doc/MSGARCH.pdf
MSGARCH/src
MSGARCH/src/MSgarch.cpp
MSGARCH/src/tGARCH.cpp
MSGARCH/src/gjrGARCH.cpp
MSGARCH/src/MSgarch.h
MSGARCH/src/GAS.cpp
MSGARCH/src/sGARCH.cpp
MSGARCH/src/eGARCH.cpp
MSGARCH/src/spec.h
MSGARCH/src/SingleRegime.h
MSGARCH/NAMESPACE
MSGARCH/NEWS
MSGARCH/data
MSGARCH/data/sp500.rda
MSGARCH/data/AMZN.rda
MSGARCH/R
MSGARCH/R/ht.R
MSGARCH/R/simahead.R
MSGARCH/R/DIC.R
MSGARCH/R/utils.R
MSGARCH/R/MSGARCH.R
MSGARCH/R/AIC.R
MSGARCH/R/BIC.R
MSGARCH/R/mle.R
MSGARCH/R/cdf.R
MSGARCH/R/unc.vol.R
MSGARCH/R/create.spec.R
MSGARCH/R/risk.R
MSGARCH/R/print.R
MSGARCH/R/bayes.R
MSGARCH/R/kernel.R
MSGARCH/R/sim.R
MSGARCH/R/transmat.R
MSGARCH/R/f.theta.mixture.R
MSGARCH/R/pit.R
MSGARCH/R/spec.R
MSGARCH/R/pred.R
MSGARCH/R/findParameters.R
MSGARCH/R/pdf.R
MSGARCH/R/Pstate.R
MSGARCH/R/zzz.R
MSGARCH/R/f.theta.IndDist.R
MSGARCH/MD5
MSGARCH/DESCRIPTION
MSGARCH/THANKS
MSGARCH/man
MSGARCH/man/AIC.Rd
MSGARCH/man/simahead.Rd
MSGARCH/man/pdf.Rd
MSGARCH/man/DIC.Rd
MSGARCH/man/MSGARCH-package.Rd
MSGARCH/man/fit.mle.Rd
MSGARCH/man/risk.Rd
MSGARCH/man/fit.bayes.Rd
MSGARCH/man/unc.vol.Rd
MSGARCH/man/kernel.Rd
MSGARCH/man/cdf.Rd
MSGARCH/man/ht.Rd
MSGARCH/man/transmat.Rd
MSGARCH/man/Pstate.Rd
MSGARCH/man/create.spec.Rd
MSGARCH/man/sp500.Rd
MSGARCH/man/pred.Rd
MSGARCH/man/AMZN.Rd
MSGARCH/man/pit.Rd
MSGARCH/man/BIC.Rd
MSGARCH/man/sim.Rd