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MSGARCH (version 0.17.7)

Markov-Switching GARCH Models

Description

The MSGARCH package offers methods to fit (by Maximum Likelihood or Bayesian), simulate, and forecast various Markov-Switching GARCH processes.

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Version

Install

install.packages('MSGARCH')

Monthly Downloads

497

Version

0.17.7

License

GPL (>= 2)

Maintainer

Keven Bluteau

Last Published

January 9th, 2017

Functions in MSGARCH (0.17.7)

AIC

Compute Akaike information criterion (AIC).
AMZN

Log return of Amazon inc. closing Value
cdf

Cumulative function.
BIC

Compute Bayesian information criterion (BIC).
crps

CRPS (continuous ranked probability score) measure.
create.spec

Model specification
fit.bayes

Bayesian estimation.
fit.mle

ML estimation.
kernel

Kernel function.
ht

Conditional variance in each regime.
pred

Predictive function.
Pstate

Filtered state probabilities.
risk

Value-at-Risk And Expected-shortfall.
sim

Process simulation method.
simahead

Step ahead simulation method.
sp500

Log return of the S&P 500 index closing Value
unc.vol

Unconditional volatility of each regime.
pdf

Probability density function.
pit

Probability Integral Transform.
transmat

Transition Matrix.