Markov-Switching GARCH Models.

The MSGARCH package offers methods to 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], Brian Peterson [ctb], Denis-Alexandre Trottier [aut]

License: GPL (>= 2)

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

Released over 1 year ago.