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Markov-Switching GARCH Models in R: The MSGARCH Package

We describe the package MSGARCH, which implements Markov-switching GARCH (generalized autoregressive conditional heteroscedasticity) models in R with efficient C++ object-oriented programming. Markov-switching GARCH models have become popular methods to account for regime changes in the conditional...

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Autori principali: David Ardia, Keven Bluteau, Kris Boudt, Leopoldo Catania, Denis-Alexandre Trottier
Natura: Artigo
Lingua:Inglês
Pubblicazione: Foundation for Open Access Statistics 2019-10-01
Serie:Journal of Statistical Software
Soggetti:
garch
msgarch
markov-switching
conditional volatility
forecasting
r software
Accesso online:https://www.jstatsoft.org/index.php/jss/article/view/3295
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