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.
- Version2.51
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- MSGARCH citation info
- Last release12/05/2022
Documentation
Team
Keven Bluteau
David Ardia
Show author detailsRolesAuthorLeopoldo Catania
Show author detailsRolesAuthorAlexios Ghalanos
Show author detailsRolesContributorKris Boudt
Show author detailsRolesContributorBrian Peterson
Show author detailsRolesContributorDenis-Alexandre Trottier
Show author detailsRolesAuthor
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- Imports7 packages
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