https://github.com/keblu/msgarch

MSGARCH R Package
https://github.com/keblu/msgarch

arch econometrics egarch finance forecasting forecasting-models garch gjr-garch r risk tgarch time-series variance volatility

Last synced: 10 months ago
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MSGARCH R Package

• Host: GitHub
• URL: https://github.com/keblu/msgarch
• Owner: keblu
• Created: 2016-05-06T16:41:08.000Z (over 9 years ago)
• Default Branch: master
• Last Pushed: 2022-12-05T16:04:22.000Z (about 3 years ago)
• Last Synced: 2025-04-02T17:53:55.642Z (10 months ago)
• Topics: arch, econometrics, egarch, finance, forecasting, forecasting-models, garch, gjr-garch, r, risk, tgarch, time-series, variance, volatility
• Language: R
• Homepage: https://cran.r-project.org/web/packages/MSGARCH/index.html
• Size: 221 MB
• Stars: 80
• Watchers: 20
• Forks: 29
• Open Issues: 12
• Metadata Files:
  • Readme: README.md
  • Contributing: CONTRIBUTING.md

Awesome Lists containing this project

README

          
# MSGARCH

[![Build Status](https://travis-ci.org/keblu/MSGARCH.svg?branch=master)](https://travis-ci.org/keblu/MSGARCH)

[![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)



 

More about `MSGARCH` available at [http://keblu.github.io/MSGARCH/](http://keblu.github.io/MSGARCH/).

## Please cite the package in publications!

By using `MSGARCH` you agree to the following rules: 

1) You must cite [Ardia et al. (2019)](https://doi.org/10.18637/jss.v091.i04) in working papers and published papers that use `MSGARCH`.

2) 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). 

3) You assume all risk for the use of `MSGARCH`.

**Ardia, D., Bluteau, K., Boudt, K., Catania, L., Trottier, D.-A. (2019).**    

Markov-switching GARCH models in R: The MSGARCH package.    

_Journal of Statistical Software_, 91(4), 1-38.    

[https://doi.org/10.18637/jss.v091.i04](https://doi.org/10.18637/jss.v091.i04)

## Other references

**Ardia, D., Bluteau, K., Boudt, K., Catania, L. (2018).**  

Forecasting risk with Markov-switching GARCH models: A large-scale performance study   

_International Journal of Forecasting_, 34(4), 733-747.                                               

[https://doi.org/10.1016/j.ijforecast.2018.05.004](https://doi.org/10.1016/j.ijforecast.2018.05.004)

**Ardia, D., Bluteau, K., Ruede, M. (2019).**    

Regime changes in Bitcoin GARCH volatility dynamics.    

_Finance Research Letters_, 29, 266-271.                                         

[https://doi.org/10.1016/j.frl.2018.08.009](https://doi.org/10.1016/j.frl.2018.08.009)