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PWEV  

PSO Based Weighted Ensemble Algorithm for Volatility Modelling
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("PWEV", "0.1.0")



Attach the package and use:
library("PWEV")
Maintained by
Dr. Ranjit Kumar Paul
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2024-04-16
Latest Update: 2024-04-16
Description:
Price volatility refers to the degree of variation in series over a certain period of time. This volatility is especially noticeable in agricultural commodities, adding uncertainty for farmers, traders, and others in the agricultural supply chain. Commonly and popularly used four volatility models viz, GARCH, Glosten Jagannatan Runkle-GARCH (GJR-GARCH) model, exponentially weighted moving average (EWMA) model and Multiplicative Error Model (MEM) are selected and implemented. PWAVE, weighted ensemble model based on particle swarm optimization (PSO) is proposed to combine the forecast obtained from all the candidate models. This package has been developed using algorithm of Paul et al. and Yeasin and Paul (2024) .
How to cite:
Dr. Ranjit Kumar Paul (2024). PWEV: PSO Based Weighted Ensemble Algorithm for Volatility Modelling. R package version 0.1.0, https://cran.r-project.org/web/packages/PWEV. Accessed 07 Nov. 2024.
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