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. |