To cite 'MSGARCH' in publications use:

Keven Bluteau, David Ardia, Denis-Alexandre Trottier, Kris Boudt, Brian Peterson (2016). Markov-Switching GARCH Models in R: The MSGARCH Package. Version 0.16.

Corresponding BibTeX entry:

  @Manual{,
    title = {{M}arkov-{S}witching {GARCH} Models in {R}: The {MSGARCH}
      Package},
    author = {Keven Bluteau and David Ardia and Denis-Alexandre
      Trottier and Kris Boudt and Brian Peterson},
    url = {https://github.com/keblu/MSGARCH},
    year = {2016},
    vers = {Version 0.16},
  }