Man pages for MSGARCH
Markov-Switching GARCH Models
| CreateSpec | Model specification. |
| dem2gbp | DEM/GBP exchange rate log-returns |
| DIC | Deviance Information Criterion (DIC). |
| ExtractStateFit | Single-regime model extractor. |
| FitMCMC | MCMC/Bayesian estimation. |
| FitML | Maximum Likelihood estimation. |
| MSGARCH-package | The R package MSGARCH |
| PIT | Probability integral transform. |
| predict | predict method. |
| PredPdf | Predictive density. |
| Risk | Value-at-Risk and Expected-shortfall. |
| simulate | Simulation of MSGARCH processes. |
| SMI | Swiss market index dataset |
| State | State probabilities. |
| TransMat | Transition matrix. |
| UncVol | Unconditional volatility. |
| Volatility | Volatility filtering. |
