{"id":21869682,"url":"https://github.com/keblu/msgarch","last_synced_at":"2025-04-08T03:09:39.989Z","repository":{"id":47713446,"uuid":"58221046","full_name":"keblu/MSGARCH","owner":"keblu","description":"MSGARCH R Package","archived":false,"fork":false,"pushed_at":"2022-12-05T16:04:22.000Z","size":231507,"stargazers_count":80,"open_issues_count":12,"forks_count":29,"subscribers_count":20,"default_branch":"master","last_synced_at":"2025-04-02T17:53:55.642Z","etag":null,"topics":["arch","econometrics","egarch","finance","forecasting","forecasting-models","garch","gjr-garch","r","risk","tgarch","time-series","variance","volatility"],"latest_commit_sha":null,"homepage":"https://cran.r-project.org/web/packages/MSGARCH/index.html","language":"R","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":null,"status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/keblu.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":"CONTRIBUTING.md","funding":null,"license":null,"code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null}},"created_at":"2016-05-06T16:41:08.000Z","updated_at":"2025-03-14T02:00:31.000Z","dependencies_parsed_at":"2023-01-23T03:45:17.954Z","dependency_job_id":null,"html_url":"https://github.com/keblu/MSGARCH","commit_stats":null,"previous_names":[],"tags_count":0,"template":false,"template_full_name":null,"repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/keblu%2FMSGARCH","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/keblu%2FMSGARCH/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/keblu%2FMSGARCH/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/keblu%2FMSGARCH/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/keblu","download_url":"https://codeload.github.com/keblu/MSGARCH/tar.gz/refs/heads/master","host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":247767234,"owners_count":20992547,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["arch","econometrics","egarch","finance","forecasting","forecasting-models","garch","gjr-garch","r","risk","tgarch","time-series","variance","volatility"],"created_at":"2024-11-28T06:08:44.451Z","updated_at":"2025-04-08T03:09:39.968Z","avatar_url":"https://github.com/keblu.png","language":"R","funding_links":[],"categories":[],"sub_categories":[],"readme":"# MSGARCH\n[![Build Status](https://travis-ci.org/keblu/MSGARCH.svg?branch=master)](https://travis-ci.org/keblu/MSGARCH)\n[![CRAN](http://www.r-pkg.org/badges/version/MSGARCH)](https://cran.r-project.org/package=MSGARCH) [![Downloads](http://cranlogs.r-pkg.org/badges/MSGARCH?color=brightgreen)](http://www.r-pkg.org/pkg/MSGARCH)[![Downloads](http://cranlogs.r-pkg.org/badges/grand-total/MSGARCH?color=brightgreen)](http://www.r-pkg.org/pkg/MSGARCH)\n\u003ca href='http://keblu.github.io/MSGARCH/'\u003e\u003cimg src='hexmsgarch_small.png' align=\"right\"  height=\"120\"/\u003e\u003c/a\u003e\n \nMore about `MSGARCH` available at [http://keblu.github.io/MSGARCH/](http://keblu.github.io/MSGARCH/).\n\n## Please cite the package in publications!\n\nBy using `MSGARCH` you agree to the following rules: \n\n1) You must cite [Ardia et al. (2019)](https://doi.org/10.18637/jss.v091.i04) in working papers and published papers that use `MSGARCH`.\n2) You must place the following URL in a footnote to help others find `MSGARCH`: [https://CRAN.R-project.org/package=MSGARCH](https://CRAN.R-project.org/package=MSGARCH). \n3) You assume all risk for the use of `MSGARCH`.\n\n**Ardia, D., Bluteau, K., Boudt, K., Catania, L., Trottier, D.-A. (2019).**    \nMarkov-switching GARCH models in R: The MSGARCH package.    \n_Journal of Statistical Software_, 91(4), 1-38.    \n[https://doi.org/10.18637/jss.v091.i04](https://doi.org/10.18637/jss.v091.i04)\n\n## Other references\n\n**Ardia, D., Bluteau, K., Boudt, K., Catania, L. (2018).**  \nForecasting risk with Markov-switching GARCH models: A large-scale performance study   \n_International Journal of Forecasting_, 34(4), 733-747.                                               \n[https://doi.org/10.1016/j.ijforecast.2018.05.004](https://doi.org/10.1016/j.ijforecast.2018.05.004)\n\n**Ardia, D., Bluteau, K., Ruede, M. (2019).**    \nRegime changes in Bitcoin GARCH volatility dynamics.    \n_Finance Research Letters_, 29, 266-271.                                         \n[https://doi.org/10.1016/j.frl.2018.08.009](https://doi.org/10.1016/j.frl.2018.08.009)\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fkeblu%2Fmsgarch","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fkeblu%2Fmsgarch","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fkeblu%2Fmsgarch/lists"}