Markov-Switching GARCH Models

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Documentation for package ‘MSGARCH’ version 0.17.7

Help Pages

AIC Compute Akaike information criterion (AIC).
AMZN Log return of Amazon inc. closing Value
BIC Compute Bayesian information criterion (BIC).
cdf Cumulative function.
create.spec Model specification
crps CRPS (continuous ranked probability score) measure.
DIC Compute Deviance Information Criterion (DIC).
fit.bayes Bayesian estimation.
fit.mle ML estimation.
ht Conditional variance in each regime.
kernel Kernel function.
pdf Probability density function.
pit Probability Integral Transform.
pred Predictive function.
Pstate Filtered state probabilities.
risk Value-at-Risk And Expected-shortfall.
sim Process simulation method.
simahead Step ahead simulation method.
sp500 Log return of the S&P 500 index closing Value
transmat Transition Matrix.
unc.vol Unconditional volatility of each regime.