Markov-Switching GARCH Models
Model specification.
Deviance Information Criterion (DIC).
Single-regime model extractor.
MCMC/Bayesian estimation.
Maximum Likelihood estimation.
The R package MSGARCH
Probability integral transform.
predict method.
Predictive density.
Value-at-Risk and Expected-shortfall.
Simulation of MSGARCH processes.
State probabilities.
Transition matrix.
Unconditional volatility.
Volatility filtering.
Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2019) <doi:10.18637/jss.v091.i04>.