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MSGARCH  

Markov-Switching GARCH Models
View on CRAN: Click here


Download and install MSGARCH package within the R console
Install from CRAN:
install.packages("MSGARCH")

Install from Github:
library("remotes")
install_github("cran/MSGARCH")

Install by package version:
library("remotes")
install_version("MSGARCH", "2.51")



Attach the package and use:
library("MSGARCH")
Maintained by
Keven Bluteau
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2016-08-26
Latest Update: 2022-12-05
Description:
Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2019) .
How to cite:
Keven Bluteau (2016). MSGARCH: Markov-Switching GARCH Models. R package version 2.51, https://cran.r-project.org/web/packages/MSGARCH
Previous versions and publish date:
0.16 (2016-08-26 02:46), 0.17.7 (2017-01-09 21:46), 0.17 (2016-10-30 01:01), 1.1 (2017-09-14 18:10), 1.2 (2017-10-19 23:21), 1.3 (2017-10-26 22:42), 2.0 (2017-11-16 13:25), 2.1 (2018-02-26 23:08), 2.3 (2018-05-16 07:07), 2.31 (2019-10-24 13:20), 2.42 (2020-04-20 08:00), 2.50 (2022-01-16 01:22)
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