Markov-Switching GARCH Models [R package MSGARCH version 2.51]

MSGARCH: Markov-Switching GARCH Models

Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2019) <doi:10.18637/jss.v091.i04>.

Version: 2.51

Imports: Rcpp, coda, methods, zoo, expm, fanplot, MASS, numDeriv

LinkingTo: Rcpp, RcppArmadillo

Suggests: mcmc, testthat

Published: 2022年12月05日

DOI: 10.32614/CRAN.package.MSGARCH

Author: David Ardia ORCID iD [aut], Keven Bluteau ORCID iD [aut, cre], Kris Boudt ORCID iD [ctb], Leopoldo Catania ORCID iD [aut], Alexios Ghalanos [ctb], Brian Peterson [ctb], Denis-Alexandre Trottier [aut]

Maintainer: Keven Bluteau <Keven.Bluteau at usherbrooke.ca>

BugReports: https://github.com/keblu/MSGARCH/issues

License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]

URL: https://github.com/keblu/MSGARCH

NeedsCompilation: yes

Citation: MSGARCH citation info

Materials: NEWS

In views: Finance

CRAN checks: MSGARCH results

Documentation:

Reference manual: MSGARCH.html , MSGARCH.pdf

Downloads:

Package source: MSGARCH_2.51.tar.gz

Windows binaries: r-devel: MSGARCH_2.51.zip, r-release: MSGARCH_2.51.zip, r-oldrel: MSGARCH_2.51.zip

macOS binaries: r-release (arm64): MSGARCH_2.51.tgz, r-oldrel (arm64): MSGARCH_2.51.tgz, r-release (x86_64): MSGARCH_2.51.tgz, r-oldrel (x86_64): MSGARCH_2.51.tgz

Old sources: MSGARCH archive

Reverse dependencies:

Reverse imports: MSGARCHelm, SBAGM

Linking:

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