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)
- Version2.51
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- MSGARCH citation info
- Last release12/05/2022
Documentation
Team
Keven Bluteau
David Ardia
Kris Boudt
Leopoldo Catania
Alexios Ghalanos
Show author detailsRolesContributorBrian Peterson
Show author detailsRolesContributorDenis-Alexandre Trottier
Show author detailsRolesAuthor
Insights
Last 30 days
Last 365 days
The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.
Data provided by CRAN
Binaries
Dependencies
- Imports8 packages
- Suggests2 packages
- Linking To2 packages
- Reverse Imports2 packages