MSGARCHelm
Hybridization of MS-GARCH and ELM Model
Implements the three parallel forecast combinations of Markov Switching GARCH and extreme learning machine model along with the selection of appropriate model for volatility forecasting. For method details see Hsiao C, Wan SK (2014). <doi:10.1016/j.jeconom.2013.11.003>, Hansen BE (2007). <doi:10.1111/j.1468-0262.2007.00785.x>, Elliott G, Gargano A, Timmermann A (2013). <doi:10.1016/j.jeconom.2013.04.017>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.0 |
rolling linux/jammy R-4.5 | MSGARCHelm_0.1.0.tar.gz |
32.6 KiB |
0.1.0 |
rolling linux/noble R-4.5 | MSGARCHelm_0.1.0.tar.gz |
32.5 KiB |
0.1.0 |
rolling source/ R- | MSGARCHelm_0.1.0.tar.gz |
5.7 KiB |
0.1.0 |
latest linux/jammy R-4.5 | MSGARCHelm_0.1.0.tar.gz |
32.6 KiB |
0.1.0 |
latest linux/noble R-4.5 | MSGARCHelm_0.1.0.tar.gz |
32.5 KiB |
0.1.0 |
latest source/ R- | MSGARCHelm_0.1.0.tar.gz |
5.7 KiB |
0.1.0 |
2026-04-26 source/ R- | MSGARCHelm_0.1.0.tar.gz |
5.7 KiB |
0.1.0 |
2026-04-23 source/ R- | MSGARCHelm_0.1.0.tar.gz |
5.7 KiB |
0.1.0 |
2026-04-09 windows/windows R-4.5 | MSGARCHelm_0.1.0.zip |
36.1 KiB |
0.1.0 |
2025-04-20 source/ R- | MSGARCHelm_0.1.0.tar.gz |
5.7 KiB |