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
Insights
Last 30 days
This package has been downloaded 537 times in the last 30 days. More downloads than an obscure whitepaper, but not enough to bring down any servers. A solid effort! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 4 times.
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Last 365 days
This package has been downloaded 6,335 times in the last 365 days. A solid achievement! Enough downloads to get noticed at department meetings. The day with the most downloads was Sep 11, 2024 with 58 downloads.
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Dependencies
- Imports7 packages
- Suggests2 packages
- Linking To2 packages
- Reverse Imports2 packages