Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2017) <https://ssrn.com/abstract=2845809>.
Version: | 2.0 |
Imports: | Rcpp, coda, methods, zoo, expm, fanplot, MASS, numDeriv |
LinkingTo: | Rcpp, RcppArmadillo |
Suggests: | mcmc, testthat |
Published: | 2017-11-16 |
Author: | David Ardia [aut], Keven Bluteau [aut, cre], Kris Boudt [ctb], Leopoldo Catania [aut], Brian Peterson [ctb], Denis-Alexandre Trottier [aut] |
Maintainer: | Keven Bluteau <Keven.Bluteau at unine.ch> |
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 |
Reference manual: | MSGARCH.pdf |
Package source: | MSGARCH_2.0.tar.gz |
Windows binaries: | r-devel: MSGARCH_2.0.zip, r-release: MSGARCH_2.0.zip, r-oldrel: MSGARCH_2.0.zip |
OS X El Capitan binaries: | r-release: MSGARCH_2.0.tgz |
OS X Mavericks binaries: | r-oldrel: MSGARCH_2.0.tgz |
Old sources: | MSGARCH archive |
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