MSGARCH
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Software:37516
swMATH25780CRANMSGARCHMaRDI QIDQ37516
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
Source code repository: https://github.com/cran/MSGARCH
Related Items (4)
Methods for computing numerical standard errors: review and application to value-at-risk estimation ⋮ SBAGM ⋮ MSGARCHelm ⋮ Unnamed Item
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