MSGARCHelm: 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:10.1111/j.1468-0262.2007.00785.x>, Elliott G, Gargano A, Timmermann A (2013). <doi:10.1016/j.jeconom.2013.04.017>.

Version: 0.1.0
Depends: R (≥ 3.6)
Imports: nnfor, MSGARCH, forecast
Published: 2020-10-08
Author: Rajeev Ranjan Kumar [aut, cre], Girish Kumar Jha [aut, ths, ctb], Neeraj Budhlakoti [ctb]
Maintainer: Rajeev Ranjan Kumar <rrk.uasd at gmail.com>
License: GPL-3
NeedsCompilation: no
CRAN checks: MSGARCHelm results

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Reference manual: MSGARCHelm.pdf
Package source: MSGARCHelm_0.1.0.tar.gz
Windows binaries: r-devel: MSGARCHelm_0.1.0.zip, r-release: MSGARCHelm_0.1.0.zip, r-oldrel: MSGARCHelm_0.1.0.zip
macOS binaries: r-release (arm64): MSGARCHelm_0.1.0.tgz, r-release (x86_64): MSGARCHelm_0.1.0.tgz, r-oldrel: MSGARCHelm_0.1.0.tgz

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