R: Markov-Switching GARCH Models

# Markov-Switching GARCH Models

## 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.