{
  "_id": "6abe322499f7aa8c6aa538bd",
  "Package": "MSGARCH",
  "Type": "Package",
  "Title": "Markov-Switching GARCH Models",
  "Version": "2.51",
  "Date": "2022-12-05",
  "Authors@R": "c(person(\"David\", \"Ardia\", role = c(\"aut\"),\nemail = \"david.ardia.ch@gmail.com\",\ncomment = c(ORCID = \"0000-0003-2823-782X\")),\nperson(\"Keven\", \"Bluteau\", role = c(\"aut\", \"cre\"),\nemail = \"Keven.Bluteau@usherbrooke.ca\",\ncomment = c(ORCID = \"0000-0003-2990-4807\")),\nperson(\"Kris\", \"Boudt\", role = c(\"ctb\"),\nemail = \"kris.boudt@ugent.be\",\ncomment = c(ORCID = \"0000-0002-1000-5142\")),\nperson(\"Leopoldo\", \"Catania\", role = c(\"aut\"),\nemail = \"leopoldo.catania@econ.au.dk\",\ncomment = c(ORCID = \"0000-0002-0981-1921\")),\nperson(\"Alexios\", \"Ghalanos\", role = c(\"ctb\"),\nemail = \"alexios@4dscape.com\"),\nperson(\"Brian\", \"Peterson\", role = c(\"ctb\"),\nemail = \"brian@braverock.com\"),\nperson(\"Denis-Alexandre\", \"Trottier\", role = c(\"aut\"),\nemail = \"denis-alexandre.trottier.1@ulaval.ca\"))",
  "Maintainer": "Keven Bluteau <Keven.Bluteau@usherbrooke.ca>",
  "Description": "Fit (by Maximum Likelihood or MCMC/Bayesian), simulate,\nand forecast various Markov-Switching GARCH models as described\nin Ardia et al. (2019) <doi:10.18637/jss.v091.i04>.",
  "License": "GPL (>= 2)",
  "BugReports": "https://github.com/keblu/MSGARCH/issues",
  "URL": "https://github.com/keblu/MSGARCH",
  "RoxygenNote": "7.1.1",
  "NeedsCompilation": "yes",
  "Encoding": "UTF-8",
  "Packaged": {
    "Date": "2026-10-01 09:55:46 UTC",
    "User": "root"
  },
  "Author": "David Ardia [aut] (<https://orcid.org/0000-0003-2823-782X>),\nKeven Bluteau [aut, cre]\n(<https://orcid.org/0000-0003-2990-4807>), Kris Boudt [ctb]\n(<https://orcid.org/0000-0002-1000-5142>), Leopoldo Catania\n[aut] (<https://orcid.org/0000-0002-0981-1921>), Alexios\nGhalanos [ctb], Brian Peterson [ctb], Denis-Alexandre Trottier\n[aut]",
  "Repository": "https://keblu.r-universe.dev",
  "Date/Publication": "2022-12-05 17:32:30 UTC",
  "RemoteUrl": "https://github.com/cran/MSGARCH",
  "RemoteRef": "HEAD",
  "RemoteSha": "8cf35e5ed0332a664e06ad45e52af38452d35c26",
  "_user": "keblu",
  "_type": "src",
  "_file": "MSGARCH_2.51.tar.gz",
  "_fileid": "https://r2.ropensci.org/7b2fc7a3866e566270a32c5365fa59b7b1f5457a07bcdbdd547f198b91da9ffe",
  "_filesize": 313523,
  "_sha256": "7b2fc7a3866e566270a32c5365fa59b7b1f5457a07bcdbdd547f198b91da9ffe",
  "_expires": "2027-01-09T10:12:50.000Z",
  "_created": "2026-10-01T09:55:46.000Z",
  "_published": "2026-10-01T10:12:52.531Z",
  "_jobs": [
    {
      "job": 110316677256,
      "time": 342,
      "config": "linux-devel-arm64",
      "r": "4.7.0",
      "check": "OK",
      "artifact": "11153238759"
    },
    {
      "job": 110316677149,
      "time": 343,
      "config": "linux-devel-x86_64",
      "r": "4.7.0",
      "check": "OK",
      "artifact": "11153821033"
    },
    {
      "job": 110316677140,
      "time": 312,
      "config": "linux-release-arm64",
      "r": "4.6.1",
      "check": "OK",
      "artifact": "11154125443"
    },
    {
      "job": 110316677126,
      "time": 418,
      "config": "linux-release-x86_64",
      "r": "4.6.1",
      "check": "OK",
      "artifact": "11153741616"
    },
    {
      "job": 110316677187,
      "time": 267,
      "config": "macos-oldrel-arm64",
      "r": "4.5.3",
      "check": "OK",
      "artifact": "11152784824"
    },
    {
      "job": 110316677148,
      "time": 843,
      "config": "macos-oldrel-x86_64",
      "r": "4.5.3",
      "check": "OK",
      "artifact": "11154635332"
    },
    {
      "job": 110316677085,
      "time": 279,
      "config": "macos-release-arm64",
      "r": "4.6.1",
      "check": "OK",
      "artifact": "11152614916"
    },
    {
      "job": 110316677458,
      "time": 695,
      "config": "macos-release-x86_64",
      "r": "4.6.1",
      "check": "OK",
      "artifact": "11154405981"
    },
    {
      "job": 110314824569,
      "time": 318,
      "config": "source",
      "r": "4.6.1",
      "check": "OK",
      "artifact": "11152679970"
    },
    {
      "job": 110316677058,
      "time": 203,
      "config": "wasm-release",
      "r": "4.6.0",
      "check": "OK",
      "artifact": "11153049844"
    },
    {
      "job": 110316677143,
      "time": 427,
      "config": "windows-devel-arm64",
      "r": "4.7.0",
      "check": "OK",
      "artifact": "11154330405"
    },
    {
      "job": 110316677137,
      "time": 506,
      "config": "windows-devel-x86_64",
      "r": "4.7.0",
      "check": "OK",
      "artifact": "11154305371"
    },
    {
      "job": 110316677089,
      "time": 437,
      "config": "windows-oldrel-x86_64",
      "r": "4.5.3",
      "check": "OK",
      "artifact": "11153149480"
    },
    {
      "job": 110316677157,
      "time": 445,
      "config": "windows-release-arm64",
      "r": "4.6.1",
      "check": "OK",
      "artifact": "11154245710"
    },
    {
      "job": 110316677095,
      "time": 459,
      "config": "windows-release-x86_64",
      "r": "4.6.1",
      "check": "OK",
      "artifact": "11153563931"
    }
  ],
  "_host": "GitHub-Actions",
  "_buildurl": "https://github.com/r-universe/keblu/actions/runs/36845552661",
  "_status": "success",
  "_upstream": "https://github.com/cran/MSGARCH",
  "_commit": {
    "id": "8cf35e5ed0332a664e06ad45e52af38452d35c26",
    "author": "Keven Bluteau <Keven.Bluteau@usherbrooke.ca>",
    "committer": "cran-robot <csardi.gabor+cran@gmail.com>",
    "message": "version 2.51\n",
    "time": 1670261550
  },
  "_maintainer": {
    "name": "Keven Bluteau",
    "email": "keven.bluteau@usherbrooke.ca",
    "login": "keblu",
    "description": "",
    "uuid": 4969941,
    "orcid": "0000-0003-2990-4807"
  },
  "_distro": "resolute",
  "_registered": true,
  "_dependencies": [
    {
      "package": "Rcpp",
      "role": "LinkingTo"
    },
    {
      "package": "RcppArmadillo",
      "role": "LinkingTo"
    },
    {
      "package": "Rcpp",
      "role": "Imports"
    },
    {
      "package": "coda",
      "role": "Imports"
    },
    {
      "package": "methods",
      "role": "Imports"
    },
    {
      "package": "zoo",
      "role": "Imports"
    },
    {
      "package": "expm",
      "role": "Imports"
    },
    {
      "package": "fanplot",
      "role": "Imports"
    },
    {
      "package": "MASS",
      "role": "Imports"
    },
    {
      "package": "numDeriv",
      "role": "Imports"
    },
    {
      "package": "mcmc",
      "role": "Suggests"
    },
    {
      "package": "testthat",
      "role": "Suggests"
    }
  ],
  "_owner": "cran",
  "_selfowned": true,
  "_usedby": 2,
  "_updates": [],
  "_tags": [],
  "_stars": 1,
  "_contributors": [
    {
      "user": "keblu",
      "count": 13,
      "uuid": 4969941
    }
  ],
  "_userbio": {
    "uuid": 4969941,
    "type": "user",
    "name": "Keven Bluteau",
    "followers": 56
  },
  "_downloads": {
    "count": 652,
    "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/MSGARCH"
  },
  "_devurl": "https://github.com/keblu/msgarch",
  "_searchresults": 108,
  "_topics": [
    "openblas",
    "cpp"
  ],
  "_rbuild": "4.6.1",
  "_assets": [
    "extra/citation.cff",
    "extra/citation.html",
    "extra/citation.json",
    "extra/citation.txt",
    "extra/contents.json",
    "extra/manual.pdf",
    "extra/MSGARCH.html",
    "extra/NEWS.html",
    "extra/NEWS.txt"
  ],
  "_realowner": "keblu",
  "_cranurl": false,
  "_releases": [
    {
      "version": "0.16",
      "date": "2016-08-25"
    },
    {
      "version": "0.17",
      "date": "2016-10-29"
    },
    {
      "version": "0.17.7",
      "date": "2017-01-09"
    },
    {
      "version": "1.1",
      "date": "2017-09-14"
    },
    {
      "version": "1.2",
      "date": "2017-10-19"
    },
    {
      "version": "1.3",
      "date": "2017-10-26"
    },
    {
      "version": "2.0",
      "date": "2017-11-16"
    },
    {
      "version": "2.1",
      "date": "2018-02-26"
    },
    {
      "version": "2.3",
      "date": "2018-05-16"
    },
    {
      "version": "2.31",
      "date": "2019-10-24"
    },
    {
      "version": "2.42",
      "date": "2020-04-20"
    },
    {
      "version": "2.50",
      "date": "2022-01-16"
    },
    {
      "version": "2.51",
      "date": "2022-12-05"
    }
  ],
  "_exports": [
    "CreateSpec",
    "DIC",
    "ExtractStateFit",
    "FitMCMC",
    "FitML",
    "PIT",
    "PredPdf",
    "Risk",
    "State",
    "TransMat",
    "UncVol",
    "Volatility"
  ],
  "_datasets": [
    {
      "name": "dem2gbp",
      "title": "DEM/GBP exchange rate log-returns",
      "object": "dem2gbp",
      "file": "dem2gbp.rda",
      "class": [
        "numeric"
      ],
      "fields": [],
      "table": false,
      "tojson": true
    },
    {
      "name": "SMI",
      "title": "Swiss market index dataset",
      "object": "SMI",
      "file": "SMI.rda",
      "class": [
        "zoo"
      ],
      "fields": [],
      "table": false,
      "tojson": false
    }
  ],
  "_help": [
    {
      "page": "MSGARCH-package",
      "title": "The R package MSGARCH",
      "topics": [
        "MSGARCH-package",
        "MSGARCH"
      ]
    },
    {
      "page": "CreateSpec",
      "title": "Model specification.",
      "topics": [
        "CreateSpec"
      ]
    },
    {
      "page": "dem2gbp",
      "title": "DEM/GBP exchange rate log-returns",
      "topics": [
        "dem2gbp"
      ]
    },
    {
      "page": "DIC",
      "title": "Deviance Information Criterion (DIC).",
      "topics": [
        "DIC",
        "DIC.MSGARCH_MCMC_FIT"
      ]
    },
    {
      "page": "ExtractStateFit",
      "title": "Single-regime model extractor.",
      "topics": [
        "ExtractStateFit",
        "ExtractStateFit.MSGARCH_MCMC_FIT",
        "ExtractStateFit.MSGARCH_ML_FIT"
      ]
    },
    {
      "page": "FitMCMC",
      "title": "MCMC/Bayesian estimation.",
      "topics": [
        "FitMCMC"
      ]
    },
    {
      "page": "FitML",
      "title": "Maximum Likelihood estimation.",
      "topics": [
        "FitML"
      ]
    },
    {
      "page": "PIT",
      "title": "Probability integral transform.",
      "topics": [
        "PIT",
        "PIT.MSGARCH_MCMC_FIT",
        "PIT.MSGARCH_ML_FIT",
        "PIT.MSGARCH_SPEC"
      ]
    },
    {
      "page": "predict",
      "title": "predict method.",
      "topics": [
        "predict.MSGARCH_MCMC_FIT",
        "predict.MSGARCH_ML_FIT",
        "predict.MSGARCH_SPEC"
      ]
    },
    {
      "page": "PredPdf",
      "title": "Predictive density.",
      "topics": [
        "PredPdf",
        "PredPdf.MSGARCH_MCMC_FIT",
        "PredPdf.MSGARCH_ML_FIT",
        "PredPdf.MSGARCH_SPEC"
      ]
    },
    {
      "page": "Risk",
      "title": "Value-at-Risk and Expected-shortfall.",
      "topics": [
        "Risk",
        "Risk.MSGARCH_MCMC_FIT",
        "Risk.MSGARCH_ML_FIT",
        "Risk.MSGARCH_SPEC"
      ]
    },
    {
      "page": "simulate",
      "title": "Simulation of MSGARCH processes.",
      "topics": [
        "simulate.MSGARCH_MCMC_FIT",
        "simulate.MSGARCH_ML_FIT",
        "simulate.MSGARCH_SPEC"
      ]
    },
    {
      "page": "SMI",
      "title": "Swiss market index dataset",
      "topics": [
        "SMI"
      ]
    },
    {
      "page": "State",
      "title": "State probabilities.",
      "topics": [
        "State",
        "State.MSGARCH_MCMC_FIT",
        "State.MSGARCH_ML_FIT",
        "State.MSGARCH_SPEC"
      ]
    },
    {
      "page": "TransMat",
      "title": "Transition matrix.",
      "topics": [
        "TransMat",
        "TransMat.MSGARCH_ML_FIT",
        "TransMat.MSGARCH_SPEC"
      ]
    },
    {
      "page": "UncVol",
      "title": "Unconditional volatility.",
      "topics": [
        "UncVol",
        "UncVol.MSGARCH_MCMC_FIT",
        "UncVol.MSGARCH_ML_FIT",
        "UncVol.MSGARCH_SPEC"
      ]
    },
    {
      "page": "Volatility",
      "title": "Volatility filtering.",
      "topics": [
        "Volatility",
        "Volatility.MSGARCH_MCMC_FIT",
        "Volatility.MSGARCH_ML_FIT",
        "Volatility.MSGARCH_SPEC"
      ]
    }
  ],
  "_rundeps": [
    "coda",
    "expm",
    "fanplot",
    "lattice",
    "MASS",
    "Matrix",
    "numDeriv",
    "Rcpp",
    "RcppArmadillo",
    "zoo"
  ],
  "_sysdeps": [
    {
      "shlib": "liblapack",
      "package": "libopenblas0-pthread",
      "source": "openblas",
      "version": "0.3.32+ds-5",
      "name": "openblas",
      "homepage": "https://www.openblas.net/",
      "description": "Optimized BLAS (linear algebra) library (shared lib, pthread)"
    },
    {
      "shlib": "libblas",
      "package": "libopenblas0-pthread",
      "source": "openblas",
      "version": "0.3.32+ds-5",
      "name": "openblas",
      "homepage": "https://www.openblas.net/",
      "description": "Optimized BLAS (linear algebra) library (shared lib, pthread)"
    },
    {
      "shlib": "libstdc++",
      "package": "libstdc++6",
      "source": "gcc",
      "version": "16-20260322-1ubuntu1",
      "name": "c++",
      "homepage": "http://gcc.gnu.org/",
      "description": "GNU Standard C++ Library v3"
    }
  ],
  "_score": 2.8115750058705933,
  "_indexed": true,
  "_nocasepkg": "msgarch",
  "_universes": [
    "keblu"
  ],
  "_binaries": [
    {
      "r": "4.7.0",
      "os": "linux",
      "version": "2.51",
      "date": "2026-10-01T10:00:05.000Z",
      "distro": "resolute",
      "arch": "aarch64",
      "commit": "8cf35e5ed0332a664e06ad45e52af38452d35c26",
      "fileid": "https://r2.ropensci.org/e2b0df2aa9f756d389083284034b652d14cef2db0538bb229d0e4690f26c4a09",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/keblu/actions/runs/36845552661"
    },
    {
      "r": "4.7.0",
      "os": "linux",
      "version": "2.51",
      "date": "2026-10-01T10:00:34.000Z",
      "distro": "resolute",
      "arch": "x86_64",
      "commit": "8cf35e5ed0332a664e06ad45e52af38452d35c26",
      "fileid": "https://r2.ropensci.org/54bc97bcde7a89189805b5019df6d38c6f33f823de01052c0c87b4a7c8b75a2b",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/keblu/actions/runs/36845552661"
    },
    {
      "r": "4.6.1",
      "os": "linux",
      "version": "2.51",
      "date": "2026-10-01T10:00:02.000Z",
      "distro": "resolute",
      "arch": "aarch64",
      "commit": "8cf35e5ed0332a664e06ad45e52af38452d35c26",
      "fileid": "https://r2.ropensci.org/e482731ae1ef1509f804558f8707c538aadca3a4313fa27d41e089455ae1154b",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/keblu/actions/runs/36845552661"
    },
    {
      "r": "4.6.1",
      "os": "linux",
      "version": "2.51",
      "date": "2026-10-01T10:00:57.000Z",
      "distro": "resolute",
      "arch": "x86_64",
      "commit": "8cf35e5ed0332a664e06ad45e52af38452d35c26",
      "fileid": "https://r2.ropensci.org/c266ac6eb4dfff3b9d5c95aff0e9d1feb5e4df7276a13a2052643b2f4e23af91",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/keblu/actions/runs/36845552661"
    },
    {
      "r": "4.5.3",
      "os": "mac",
      "version": "2.51",
      "date": "2026-10-01T09:59:41.000Z",
      "arch": "aarch64",
      "commit": "8cf35e5ed0332a664e06ad45e52af38452d35c26",
      "fileid": "https://r2.ropensci.org/ce1f2827129f429eb19d0e5f9cd660c504e14541c9e4b7f9a476fdbfbc7bf75d",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/keblu/actions/runs/36845552661"
    },
    {
      "r": "4.5.3",
      "os": "mac",
      "version": "2.51",
      "date": "2026-10-01T10:02:43.000Z",
      "arch": "x86_64",
      "commit": "8cf35e5ed0332a664e06ad45e52af38452d35c26",
      "fileid": "https://r2.ropensci.org/888b768b7c03668f23ffd8a61b856e00adb77d0e2012039c930b43ccf13b79ef",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/keblu/actions/runs/36845552661"
    },
    {
      "r": "4.6.1",
      "os": "mac",
      "version": "2.51",
      "date": "2026-10-01T09:59:49.000Z",
      "arch": "aarch64",
      "commit": "8cf35e5ed0332a664e06ad45e52af38452d35c26",
      "fileid": "https://r2.ropensci.org/b681c13b3c6cb973866873304efe21f3084ca5bf954e07d42441f8770fa6ecae",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/keblu/actions/runs/36845552661"
    },
    {
      "r": "4.6.1",
      "os": "mac",
      "version": "2.51",
      "date": "2026-10-01T10:02:24.000Z",
      "arch": "x86_64",
      "commit": "8cf35e5ed0332a664e06ad45e52af38452d35c26",
      "fileid": "https://r2.ropensci.org/8cccee59c1c6fcd0cf53c0feb100a8e453b95cbf7745689a03f5decb5d7b79ed",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/keblu/actions/runs/36845552661"
    },
    {
      "r": "4.6.0",
      "os": "wasm",
      "version": "2.51",
      "date": "2026-10-01T10:00:12.000Z",
      "arch": "emscripten",
      "commit": "8cf35e5ed0332a664e06ad45e52af38452d35c26",
      "fileid": "https://r2.ropensci.org/68e87a6457fd9b318be70c91a7040ac8ff65dafd6ffb582156185d2b0b695957",
      "status": "success",
      "buildurl": "https://github.com/r-universe/keblu/actions/runs/36845552661"
    },
    {
      "r": "4.7.0",
      "os": "win",
      "version": "2.51",
      "date": "2026-10-01T10:00:51.000Z",
      "arch": "aarch64",
      "commit": "8cf35e5ed0332a664e06ad45e52af38452d35c26",
      "fileid": "https://r2.ropensci.org/c62f0ab7a7735015a1afc924ae32424209f895f69dc771256586b0581ea01245",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/keblu/actions/runs/36845552661"
    },
    {
      "r": "4.7.0",
      "os": "win",
      "version": "2.51",
      "date": "2026-10-01T09:59:13.000Z",
      "arch": "x86_64",
      "commit": "8cf35e5ed0332a664e06ad45e52af38452d35c26",
      "fileid": "https://r2.ropensci.org/e0c34f996ec50df4ce70e91b0fd6344b12142925477a68dff9868f4f1a8e4404",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/keblu/actions/runs/36845552661"
    },
    {
      "r": "4.5.3",
      "os": "win",
      "version": "2.51",
      "date": "2026-10-01T09:59:09.000Z",
      "arch": "x86_64",
      "commit": "8cf35e5ed0332a664e06ad45e52af38452d35c26",
      "fileid": "https://r2.ropensci.org/d53bf3a03d2cb29ec577d3e70225e482c21fdd5f2845f64fbed3fd3f8e5b9f86",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/keblu/actions/runs/36845552661"
    },
    {
      "r": "4.6.1",
      "os": "win",
      "version": "2.51",
      "date": "2026-10-01T10:01:22.000Z",
      "arch": "aarch64",
      "commit": "8cf35e5ed0332a664e06ad45e52af38452d35c26",
      "fileid": "https://r2.ropensci.org/04fd74d0d3856c7c0d96fe6ec9e0cdd5688ef67ccc7db1cb9879e1415edafac1",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/keblu/actions/runs/36845552661"
    },
    {
      "r": "4.6.1",
      "os": "win",
      "version": "2.51",
      "date": "2026-10-01T09:59:18.000Z",
      "arch": "x86_64",
      "commit": "8cf35e5ed0332a664e06ad45e52af38452d35c26",
      "fileid": "https://r2.ropensci.org/759112ed89438c6d0464c8592bd204249efa87a46f048fecd0f94e6228e04231",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/keblu/actions/runs/36845552661"
    }
  ]
}