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. |
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