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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>.

Version: 2.51
Imports: Rcpp, coda, methods, zoo, expm, fanplot, MASS, numDeriv
LinkingTo: Rcpp, RcppArmadillo
Suggests: mcmc, testthat
Published: 2022-12-05
DOI: 10.32614/CRAN.package.MSGARCH
Author: David Ardia ORCID iD [aut], Keven Bluteau ORCID iD [aut, cre], Kris Boudt ORCID iD [ctb], Leopoldo Catania ORCID iD [aut], Alexios Ghalanos [ctb], Brian Peterson [ctb], Denis-Alexandre Trottier [aut]
Maintainer: Keven Bluteau <Keven.Bluteau at usherbrooke.ca>
BugReports: https://github.com/keblu/MSGARCH/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
Copyright: see file COPYRIGHTS
URL: https://github.com/keblu/MSGARCH
NeedsCompilation: yes
Citation: MSGARCH citation info
Materials: NEWS
In views: Finance
CRAN checks: MSGARCH results

Documentation:

Reference manual: MSGARCH.pdf

Downloads:

Package source: MSGARCH_2.51.tar.gz
Windows binaries: r-devel: MSGARCH_2.51.zip, r-release: MSGARCH_2.51.zip, r-oldrel: MSGARCH_2.51.zip
macOS binaries: r-release (arm64): MSGARCH_2.51.tgz, r-oldrel (arm64): MSGARCH_2.51.tgz, r-release (x86_64): MSGARCH_2.51.tgz, r-oldrel (x86_64): MSGARCH_2.51.tgz
Old sources: MSGARCH archive

Reverse dependencies:

Reverse imports: MSGARCHelm, SBAGM

Linking:

Please use the canonical form https://CRAN.R-project.org/package=MSGARCH to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.