Markov-Switching GARCH Models

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Documentation for package ‘MSGARCH’ version 2.51

• DESCRIPTION file.
• Package NEWS.

Help Pages

MSGARCH-package	The R package MSGARCH
CreateSpec	Model specification.
dem2gbp	DEM/GBP exchange rate log-returns
DIC	Deviance Information Criterion (DIC).
DIC.MSGARCH_MCMC_FIT	Deviance Information Criterion (DIC).
ExtractStateFit	Single-regime model extractor.
ExtractStateFit.MSGARCH_MCMC_FIT	Single-regime model extractor.
ExtractStateFit.MSGARCH_ML_FIT	Single-regime model extractor.
FitMCMC	MCMC/Bayesian estimation.
FitML	Maximum Likelihood estimation.
MSGARCH	The R package MSGARCH
PIT	Probability integral transform.
PIT.MSGARCH_MCMC_FIT	Probability integral transform.
PIT.MSGARCH_ML_FIT	Probability integral transform.
PIT.MSGARCH_SPEC	Probability integral transform.
predict.MSGARCH_MCMC_FIT	predict method.
predict.MSGARCH_ML_FIT	predict method.
predict.MSGARCH_SPEC	predict method.
PredPdf	Predictive density.
PredPdf.MSGARCH_MCMC_FIT	Predictive density.
PredPdf.MSGARCH_ML_FIT	Predictive density.
PredPdf.MSGARCH_SPEC	Predictive density.
Risk	Value-at-Risk and Expected-shortfall.
Risk.MSGARCH_MCMC_FIT	Value-at-Risk and Expected-shortfall.
Risk.MSGARCH_ML_FIT	Value-at-Risk and Expected-shortfall.
Risk.MSGARCH_SPEC	Value-at-Risk and Expected-shortfall.
simulate.MSGARCH_MCMC_FIT	Simulation of MSGARCH processes.
simulate.MSGARCH_ML_FIT	Simulation of MSGARCH processes.
simulate.MSGARCH_SPEC	Simulation of MSGARCH processes.
SMI	Swiss market index dataset
State	State probabilities.
State.MSGARCH_MCMC_FIT	State probabilities.
State.MSGARCH_ML_FIT	State probabilities.
State.MSGARCH_SPEC	State probabilities.
TransMat	Transition matrix.
TransMat.MSGARCH_ML_FIT	Transition matrix.
TransMat.MSGARCH_SPEC	Transition matrix.
UncVol	Unconditional volatility.
UncVol.MSGARCH_MCMC_FIT	Unconditional volatility.
UncVol.MSGARCH_ML_FIT	Unconditional volatility.
UncVol.MSGARCH_SPEC	Unconditional volatility.
Volatility	Volatility filtering.
Volatility.MSGARCH_MCMC_FIT	Volatility filtering.
Volatility.MSGARCH_ML_FIT	Volatility filtering.
Volatility.MSGARCH_SPEC	Volatility filtering.