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: | 2022-12-05 |
| Author: | David Ardia  [aut],
Keven Bluteau
[aut, cre],
Kris Boudt [ctb],
Leopoldo Catania
[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)] |
| Copyright: | see file COPYRIGHTS |
| 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.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:
Please use the canonical form https://CRAN.R-project.org/package=MSGARCH to link to this page.