MSGARCH
Markov-Switching GARCH Models
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>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
2.51 |
rolling linux/jammy R-4.5 | MSGARCH_2.51.tar.gz |
1.4 MiB |
2.51 |
rolling linux/noble R-4.5 | MSGARCH_2.51.tar.gz |
1.4 MiB |
2.51 |
rolling source/ R- | MSGARCH_2.51.tar.gz |
165.6 KiB |
2.51 |
latest linux/jammy R-4.5 | MSGARCH_2.51.tar.gz |
1.4 MiB |
2.51 |
latest linux/noble R-4.5 | MSGARCH_2.51.tar.gz |
1.4 MiB |
2.51 |
latest source/ R- | MSGARCH_2.51.tar.gz |
165.6 KiB |
2.51 |
2026-04-26 source/ R- | MSGARCH_2.51.tar.gz |
165.6 KiB |
2.51 |
2026-04-23 source/ R- | MSGARCH_2.51.tar.gz |
165.6 KiB |
2.51 |
2026-04-09 windows/windows R-4.5 | MSGARCH_2.51.zip |
1.5 MiB |
2.51 |
2025-04-20 source/ R- | MSGARCH_2.51.tar.gz |
165.6 KiB |