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)

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4 exports 1 stars 0.09 score 76 dependencies 5 scripts 180 downloads

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

Exports:fcastelmmsgarchelm_BGmsgarchelm_NGmsgarchelm_OLS

Dependencies:askpassclicodacodetoolscolorspacecurlDerivexpmfanplotfansifarverforeachforecastfracdiffgenericsggplot2glmnetgluegreyboxgtablehttrisobanditeratorsjsonlitelabelinglatticelifecyclelmtestmagrittrMAPAMASSMatrixmgcvmimeMSGARCHmunsellneuralnetnlmenloptrnnetnnfornumDerivopensslpillarpkgconfigplotrixpracmaquadprogquantmodR6RColorBrewerRcppRcppArmadilloRcppEigenrlangscalesshapesmoothstatmodsurvivalsystexregtibbletimeDatetseriestsutilsTTRurcaurootutf8vctrsviridisLitewithrxtablextszoo