Man pages for MSGARCH
Markov-Switching GARCH Models

CreateSpecModel specification.
dem2gbpDEM/GBP exchange rate log-returns
DICDeviance Information Criterion (DIC).
ExtractStateFitSingle-regime model extractor.
FitMCMCMCMC/Bayesian estimation.
FitMLMaximum Likelihood estimation.
MSGARCH-packageThe R package MSGARCH
PITProbability integral transform.
predictpredict method.
PredPdfPredictive density.
RiskValue-at-Risk and Expected-shortfall.
simulateSimulation of MSGARCH processes.
SMISwiss market index dataset
StateState probabilities.
TransMatTransition matrix.
UncVolUnconditional volatility.
VolatilityVolatility filtering.
MSGARCH documentation built on March 18, 2018, 1:40 p.m.