Markov-Switching GARCH Models in R: The MSGARCH Package

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Ardia, David and Bluteau, Keven and Boudt, Kris and Trottier, Denis-Alexandre, Markov-Switching GARCH Models in R: The MSGARCH Package (September 30, 2016). Available at SSRN: https://ssrn.com/abstract=2845809

Markov-switching GARCH models have become popular to model the structural break in the conditional variance dynamics of financial time series. In this paper, we describe the R package MSGARCH which implements Markov-switching GARCH-type models very effficiently by using C object-oriented programming techniques. It allows the user to perform simulations as well as Maximum Likelihood and Bayesian estimation of a very large class of Markov-switching GARCH-type models. Risk management tools such as Value-at-Risk and Expected-Shortfall calculations are available. An empirical illustration of the usefulness of the R package MSGARCH is presented.

https://cran.r-project.org/web/packages/MSGARCH/index.html

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关键词：GARCH Models switching package Markov switch

jogging18 发表于 2017-6-13 20:46
Markov-switching GARCH models have become popular to model the structural break in the condition ...

好的好的

谢谢分享。

支持分享

这个包的作者中有一个是我老板，当年他写这个包完成了自己博士论文的一部分。

如何利用这个包做出带均值方程啊

jogging18 发表于 2017-6-13 20:46
Markov-switching GARCH models have become popular to model the structural break in the condition ...

好的好的好的好的

收到 谢谢楼主

yanbridge 发表于 2018-11-13 14:53
如何利用这个包做出带均值方程啊

同求，我也很想知道关于均值方程的设定，不知道你做出来没有