Package: MSGARCHelm 0.1.0

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>.

Authors:Rajeev Ranjan Kumar [aut, cre], Girish Kumar Jha [aut, ths, ctb], Neeraj Budhlakoti [ctb]

MSGARCHelm_0.1.0.tar.gz
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MSGARCHelm.pdf |MSGARCHelm.html✨
MSGARCHelm/json (API)

# Install 'MSGARCHelm' in R:
install.packages('MSGARCHelm', repos = c('https://rrk4910.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 1 stars 5 scripts 159 downloads 4 exports 76 dependencies

Last updated 4 years agofrom:8eb1cd535b. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 19 2024
R-4.5-winOKNov 19 2024
R-4.5-linuxOKNov 19 2024
R-4.4-winOKNov 19 2024
R-4.4-macOKNov 19 2024
R-4.3-winOKNov 19 2024
R-4.3-macOKNov 19 2024

Exports:fcastelmmsgarchelm_BGmsgarchelm_NGmsgarchelm_OLS

Dependencies:askpassclicodacodetoolscolorspacecurlDerivexpmfanplotfansifarverforeachforecastfracdiffgenericsggplot2glmnetgluegreyboxgtablehttrisobanditeratorsjsonlitelabelinglatticelifecyclelmtestmagrittrMAPAMASSMatrixmgcvmimeMSGARCHmunsellneuralnetnlmenloptrnnetnnfornumDerivopensslpillarpkgconfigplotrixpracmaquadprogquantmodR6RColorBrewerRcppRcppArmadilloRcppEigenrlangscalesshapesmoothstatmodsurvivalsystexregtibbletimeDatetseriestsutilsTTRurcaurootutf8vctrsviridisLitewithrxtablextszoo