MSGARCH

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Markov-Switching GARCH Models

Denis-alexandre Trottier, David Ardia, Keven Bluteau, Leopoldo Catania

Last update: 5 December 2022

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 2.51

Official website: https://cran.r-project.org/package=MSGARCH

Source code repository: https://github.com/cran/MSGARCH

Cites work

• Markov-Switching GARCH Models in R: The MSGARCH Package

Cited In (12)

• Title not available (Why is that?)
• MSC
• stochvol
• acp
• highfrequency
• gets
• hawkes
• nse
• ACDm
• MSGARCHelm
• SBAGM
• Methods for computing numerical standard errors: review and application to value-at-risk estimation

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