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 |
| DOI: |
10.32614/CRAN.package.MSGARCH |
| Author: |
David Ardia  [aut]
(<https://orcid.org/0000-0003-2823-782X>),
Keven Bluteau
[aut, cre] (<https://orcid.org/0000-0003-2990-4807>),
Kris Boudt [ctb]
(<https://orcid.org/0000-0002-1000-5142>),
Leopoldo Catania
[aut] (<https://orcid.org/0000-0002-0981-1921>),
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 |