Keywords: GARCH, MSGARCH, Markov–switching, conditional volatility, risk management
Webpages:
https://CRAN.R-project.org/package=MSGARCH,
https://github.com/keblu/MSGARCH Markov–switching GARCH models have become popular to model the structural break in the conditional variance dynamics of financial time series. In this paper, we describe the
R package
MSGARCH which implements Markov–switching GARCH–type models very efficiently by using
C++ object–oriented programming techniques. It allows the user to perform simulations as well as Maximum Likelihood and Bayesian estimation of a very large class of Markov–switching GARCH–type models. Risk management tools such as Value–at–Risk and Expected–Shortfall calculations are available. An empirical illustration of the usefulness of the
R package
MSGARCH is presented.
