MSGARCH

cranv2.51

Markov-Switching GARCH Models. Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2019) <doi:10.18637/jss.v091.i04>.

License GPL (>= 2)0 versions1 maintainers8 deps180 weekly dl
keblu/MSGARCH
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First published · 2022-12-05 19:38:35

Last updated · 2022-12-05T17:32:30+00:00