MSGARCH: Markov-Switching GARCH Models

The MSGARCH package offers methods to fit (by Maximum Likelihood or Bayesian), simulate, and forecast various Markov-Switching GARCH processes.

Version: 0.17.7
Imports: Rcpp, adaptMCMC, nloptr, DEoptim, methods, stringr, ggplot2, reshape2, zoo, expm, fanplot, dfoptim
LinkingTo: Rcpp, RcppArmadillo
Published: 2017-01-09
Author: David Ardia [aut], Keven Bluteau [aut, cre], Kris Boudt [ctb], Brian Peterson [ctb], Denis-Alexandre Trottier [aut]
Maintainer: Keven Bluteau <Keven.Bluteau at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
Copyright: see file COPYRIGHTS
NeedsCompilation: yes
Citation: MSGARCH citation info
Materials: NEWS
In views: Finance
CRAN checks: MSGARCH results


Reference manual: MSGARCH.pdf
Package source: MSGARCH_0.17.7.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Mavericks binaries: r-release: MSGARCH_0.17.7.tgz, r-oldrel: MSGARCH_0.17.7.tgz
Old sources: MSGARCH archive


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