MSGARCHelm

cranv0.1.0

Hybridization of MS-GARCH and ELM Model. Implements the three parallel forecast combinations of Markov Switching GARCH and extreme learning machine model along with the selection of appropriate model for volatility forecasting. For method details see Hsiao C, Wan SK (2014). <doi:10.1016/j.jeconom.2013.11.003>, Hansen BE (2007). <doi:10.111

License GPL-3strong copyleft0 versions1 maintainers3 deps73 weekly dl
https://CRAN.R-project.org/package=MSGARCHelm
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First published · 2020-10-08 12:32:39

Last updated · 2020-10-08T10:40:02+00:00