MSGARCH (2.3)

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Markov-Switching GARCH Models.

https://github.com/keblu/MSGARCH
http://cran.r-project.org/web/packages/MSGARCH

Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2017) .

Maintainer: Keven Bluteau
Author(s): David Ardia [aut], Keven Bluteau [aut, cre], Kris Boudt [ctb], Leopoldo Catania [aut], Alexios Ghalanos [ctb], Brian Peterson [ctb], Denis-Alexandre Trottier [aut]

License: GPL (>= 2)

Uses: coda, expm, fanplot, MASS, numDeriv, Rcpp, zoo, mcmc, testthat

Released 11 months ago.


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