MSGARCHelm
Hybridization of MS-GARCH and ELM Model
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). doi:10.1016/j.jeconom.2013.11.003, Hansen BE (2007). doi:10.1111/j.1468-0262.2007.00785.x, Elliott G, Gargano A, Timmermann A (2013). doi:10.1016/j.jeconom.2013.04.017.
- Version0.1.0
- R version≥ 3.6
- LicenseGPL-3
- Needs compilation?No
- Last release10/08/2020
Team
Rajeev Ranjan Kumar
Girish Kumar Jha
Show author detailsRolesAuthor, Thesis advisor, ContributorNeeraj Budhlakoti
Show author detailsRolesContributor
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- Imports3 packages