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MSGARCH

Markov-Switching GARCH Models

v2.51 · Dec 5, 2022 · GPL (>= 2)
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Description

Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2019) <doi:10.18637/jss.v091.i04>.

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installed package size

              
  installed size is 45.4Mb
  sub-directories of 1Mb or more:
    libs  45.0Mb

            

            

              

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installed package size

              
  installed size is 45.8Mb
  sub-directories of 1Mb or more:
    libs  45.3Mb

            

            

              

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installed package size

              
  installed size is  5.2Mb
  sub-directories of 1Mb or more:
    libs   4.8Mb

            

            

              

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Check History

        

          

            
              NOTE
              
                11 OK ·                 3 NOTE ·                 0 WARNING ·                 0 ERROR ·                 0 FAILURE              
              Mar 9, 2026
            
            

              

                

                  NOTE
                  r-oldrel-macos-arm64
                

                
installed package size

                
  installed size is 45.4Mb
  sub-directories of 1Mb or more:
    libs  45.0Mb

              

              

                

                  NOTE
                  r-oldrel-macos-x86_64
                

                
installed package size

                
  installed size is 45.8Mb
  sub-directories of 1Mb or more:
    libs  45.3Mb

              

              

                

                  NOTE
                  r-oldrel-windows-x86_64
                

                
installed package size

                
  installed size is  5.2Mb
  sub-directories of 1Mb or more:
    libs   4.8Mb

              

            

          

        

      


      
      

        
Reverse Dependencies (2)

        

          
imports

          

            MSGARCHelm
            SBAGM
          

        

      


      
      

        
Dependency Network

        

          
            

            
            
            Dependencies
            
            Reverse dependencies

            
            
            
            
            
            
            
            

            
            
            

            
            
              
              Rcpp
            
            
              
              coda
            
            
              
              zoo
            
            
              
              expm
            
            
              
              fanplot
            
            
              
              MASS
            
            
              
              numDeriv
            

            
            
              
              MSGARCHelm
            
            
              
              SBAGM
            

            
            
            MSGARCH
          
        

      


      
      

        
Version History

        

          

            new
            2.51
            Mar 9, 2026