MSGARCH: Markov-Switching GARCH Models
Version 2.1

Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2017) .

Package details

AuthorDavid Ardia [aut], Keven Bluteau [aut, cre], Kris Boudt [ctb], Leopoldo Catania [aut], Brian Peterson [ctb], Denis-Alexandre Trottier [aut]
Date of publication2018-02-26 22:08:17 UTC
MaintainerKeven Bluteau <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the MSGARCH package in your browser

Any scripts or data that you put into this service are public.

MSGARCH documentation built on March 18, 2018, 1:40 p.m.