Skip to content
master
Go to file
Code

Latest commit

 

Git stats

Files

Permalink
Failed to load latest commit information.
Type
Name
Latest commit message
Commit time
 
 
 
 
bin
 
 
 
 
 
 
 
 
 
 
 
 
 
 

README.md

MSGARCH

Build Status CRAN DownloadsDownloads

More about MSGARCH available at 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) 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.
  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

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

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

You can’t perform that action at this time.