Open AccessMarkov-Switching GARCH Models in R: The MSGARCH Package
Author(s) -
David Ardia,
Keven Bluteau,
Kris Boudt,
Leopoldo Catania,
Denis-Alexandre Trottier
Publication year - 2019
Publication title -
journal of statistical software
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 7.636
H-Index - 145
ISSN - 1548-7660
DOI - 10.18637/jss.v091.i04
Subject(s) - autoregressive conditional heteroskedasticity , heteroscedasticity , econometrics , markov chain , markov chain monte carlo , computer science , conditional variance , autoregressive model , volatility (finance) , bayesian probability , variable order markov model , markov model , mathematics , machine learning , artificial intelligence
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