MSGARCHelm

Hybridization of MS-GARCH and ELM Model

CRAN Package

Implements the three parallel forecast combinations of Markov Switching GARCH and extreme learning machine model along with the selection of appropriate model for volatility forecasting. For method details see Hsiao C, Wan SK (2014). , Hansen BE (2007). , Elliott G, Gargano A, Timmermann A (2013). .

  • Version0.1.0
  • R version≥ 3.6
  • LicenseGPL-3
  • Needs compilation?No
  • Last release10/08/2020

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  • Depends1 package
  • Imports3 packages