SBAGM: Search Best ARIMA, GARCH, and MS-GARCH Model

Get the most appropriate autoregressive integrated moving average, generalized auto-regressive conditional heteroscedasticity and Markov switching GARCH model. For method details see Haas M, Mittnik S, Paolella MS (2004). <doi:10.1093/jjfinec/nbh020>, Bollerslev T (1986). <doi:10.1016/0304-4076(86)90063-1>.

Getting started

Package details

AuthorRajeev Ranjan Kumar [aut, cre], Girish Kumar Jha [aut, ths, ctb], Dwijesh C. Mishra [ctb], Neeraj Budhlakoti [ctb]
MaintainerRajeev Ranjan Kumar <>
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the SBAGM package in your browser

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

SBAGM documentation built on Oct. 28, 2020, 9:07 a.m.