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MSGARCH (version 2.51)

Markov-Switching GARCH Models

Description

Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2019) .

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Version

Install

install.packages('MSGARCH')

Monthly Downloads

559

Version

2.51

License

GPL (>= 2)

Issues

12

Pull Requests

0

Stars

81

Forks

29

Maintainer

Keven Bluteau

Last Published

December 5th, 2022

Functions in MSGARCH (2.51)

DIC

Deviance Information Criterion (DIC).
PredPdf

Predictive density.
FitMCMC

MCMC/Bayesian estimation.
CreateSpec

Model specification.
FitML

Maximum Likelihood estimation.
MSGARCH-package

The R package MSGARCH
PIT

Probability integral transform.
SMI

Swiss market index dataset
Risk

Value-at-Risk and Expected-shortfall.
ExtractStateFit

Single-regime model extractor.
UncVol

Unconditional volatility.
simulate.MSGARCH_SPEC

Simulation of MSGARCH processes.
TransMat

Transition matrix.
State

State probabilities.
Volatility

Volatility filtering.
dem2gbp

DEM/GBP exchange rate log-returns
predict.MSGARCH_SPEC

predict method.