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MSGARCH (version 1.3)

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. (2017) .

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Version

Install

install.packages('MSGARCH')

Monthly Downloads

497

Version

1.3

License

GPL (>= 2)

Issues

13

Pull Requests

0

Stars

80

Forks

29

Maintainer

Keven Bluteau

Last Published

October 26th, 2017

Functions in MSGARCH (1.3)

PIT

Probability integral transform.
MSGARCH-package

The R package MSGARCH
DIC

Deviance Information Criterion (DIC).
AIC

Akaike information criterion (AIC).
ExtractStateFit

Single-regime model extractor.
Forecast

Forecasting method.
FitML

Maximum Likelihood estimation.
BIC

Bayesian information criterion (BIC).
CreateSpec

Model specification.
TransMat

Transition matrix.
FitMCMC

MCMC/Bayesian estimation.
Sim

Simulation of MSGARCH processes.
UncVol

Unconditional volatility.
State

State probabilities.
Pred

Predictive density.
Risk

Value-at-Risk and Expected-shortfall.
dem2gbp

DEM/GBP exchange rate log-returns
SMI

Swiss market index dataset
Volatility

Volatility filtering.