CRAN/E | SBAGM

SBAGM

Search Best ARIMA, GARCH, and MS-GARCH Model

Installation

About

Get the most appropriate autoregressive integrated moving average, generalized auto-regressive conditional heteroscedasticity and Markov switching GARCH model. For method details see Haas M, Mittnik S, Paolella MS (2004). doi:10.1093/jjfinec/nbh020, Bollerslev T (1986). doi:10.1016/0304-4076(86)90063-1.

Key Metrics

Version 0.1.0
R ≥ 2.10
Published 2020-10-28 1324 days ago
Needs compilation? no
License GPL-3
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Maintainer

Maintainer

Rajeev Ranjan Kumar

Authors

Rajeev Ranjan Kumar

aut / cre

Girish Kumar Jha

aut / ths / ctb

Dwijesh C. Mishra

ctb

Neeraj Budhlakoti

ctb

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Depends

R ≥ 2.10

Imports

MSGARCH
forecast
rugarch