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. |

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