The MSGARCH package offers methods to fit (by Maximum Likelihood or Bayesian), simulate, and forecast various Markov-Switching GARCH processes.
| Version: | 0.16 |
| Imports: | Rcpp, adaptMCMC, DEoptim, nloptr, methods, stringr, ggplot2, reshape2, zoo, expm, fanplot |
| LinkingTo: | Rcpp, RcppArmadillo |
| Published: | 2016-08-26 |
| Author: | Keven Bluteau [aut, cre], David Ardia [aut], Denis-Alexandre Trottier [ctb], Kris Boudt [ctb], Brian Peterson [ctb] |
| Maintainer: | Keven Bluteau <Keven.Bluteau at unine.ch> |
| 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_0.16.tar.gz |
| Windows binaries: | r-devel: MSGARCH_0.16.zip, r-release: MSGARCH_0.16.zip, r-oldrel: MSGARCH_0.16.zip |
| OS X Mavericks binaries: | r-release: MSGARCH_0.16.tgz, r-oldrel: MSGARCH_0.16.tgz |
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