Package: MSGARCH 2.51
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>.
Authors:
MSGARCH_2.51.tar.gz
MSGARCH_2.51.zip(r-4.5)MSGARCH_2.51.zip(r-4.4)MSGARCH_2.51.zip(r-4.3)
MSGARCH_2.51.tgz(r-4.4-x86_64)MSGARCH_2.51.tgz(r-4.4-arm64)MSGARCH_2.51.tgz(r-4.3-x86_64)MSGARCH_2.51.tgz(r-4.3-arm64)
MSGARCH_2.51.tar.gz(r-4.5-noble)MSGARCH_2.51.tar.gz(r-4.4-noble)
MSGARCH_2.51.tgz(r-4.4-emscripten)MSGARCH_2.51.tgz(r-4.3-emscripten)
MSGARCH.pdf |MSGARCH.html✨
MSGARCH/json (API)
NEWS
# Install 'MSGARCH' in R: |
install.packages('MSGARCH', repos = c('https://keblu.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/keblu/msgarch/issues
Last updated 2 years agofrom:8cf35e5ed0. Checks:OK: 9. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 10 2024 |
R-4.5-win-x86_64 | OK | Nov 10 2024 |
R-4.5-linux-x86_64 | OK | Nov 10 2024 |
R-4.4-win-x86_64 | OK | Nov 10 2024 |
R-4.4-mac-x86_64 | OK | Nov 10 2024 |
R-4.4-mac-aarch64 | OK | Nov 10 2024 |
R-4.3-win-x86_64 | OK | Nov 10 2024 |
R-4.3-mac-x86_64 | OK | Nov 10 2024 |
R-4.3-mac-aarch64 | OK | Nov 10 2024 |
Exports:CreateSpecDICExtractStateFitFitMCMCFitMLPITPredPdfRiskStateTransMatUncVolVolatility
Dependencies:codaexpmfanplotlatticeMASSMatrixnumDerivRcppRcppArmadillozoo
Readme and manuals
Help Manual
Help page | Topics |
---|---|
The R package MSGARCH | MSGARCH-package MSGARCH |
Model specification. | CreateSpec |
DEM/GBP exchange rate log-returns | dem2gbp |
Deviance Information Criterion (DIC). | DIC DIC.MSGARCH_MCMC_FIT |
Single-regime model extractor. | ExtractStateFit ExtractStateFit.MSGARCH_MCMC_FIT ExtractStateFit.MSGARCH_ML_FIT |
MCMC/Bayesian estimation. | FitMCMC |
Maximum Likelihood estimation. | FitML |
Probability integral transform. | PIT PIT.MSGARCH_MCMC_FIT PIT.MSGARCH_ML_FIT PIT.MSGARCH_SPEC |
predict method. | predict.MSGARCH_MCMC_FIT predict.MSGARCH_ML_FIT predict.MSGARCH_SPEC |
Predictive density. | PredPdf PredPdf.MSGARCH_MCMC_FIT PredPdf.MSGARCH_ML_FIT PredPdf.MSGARCH_SPEC |
Value-at-Risk and Expected-shortfall. | Risk Risk.MSGARCH_MCMC_FIT Risk.MSGARCH_ML_FIT Risk.MSGARCH_SPEC |
Simulation of MSGARCH processes. | simulate.MSGARCH_MCMC_FIT simulate.MSGARCH_ML_FIT simulate.MSGARCH_SPEC |
Swiss market index dataset | SMI |
State probabilities. | State State.MSGARCH_MCMC_FIT State.MSGARCH_ML_FIT State.MSGARCH_SPEC |
Transition matrix. | TransMat TransMat.MSGARCH_ML_FIT TransMat.MSGARCH_SPEC |
Unconditional volatility. | UncVol UncVol.MSGARCH_MCMC_FIT UncVol.MSGARCH_ML_FIT UncVol.MSGARCH_SPEC |
Volatility filtering. | Volatility Volatility.MSGARCH_MCMC_FIT Volatility.MSGARCH_ML_FIT Volatility.MSGARCH_SPEC |