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
MSGARCHelm_0.1.0.zip(r-4.7-any)MSGARCHelm_0.1.0.zip(r-4.6-any)MSGARCHelm_0.1.0.zip(r-4.5-any)
MSGARCHelm_0.1.0.tgz(r-4.6-any)MSGARCHelm_0.1.0.tgz(r-4.5-any)
MSGARCHelm_0.1.0.tar.gz(r-4.7-any)MSGARCHelm_0.1.0.tar.gz(r-4.6-any)
MSGARCHelm_0.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
MSGARCHelm/json (API)

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

On CRAN:

Conda:

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 249 downloads 4 exports 66 dependencies

Last updated from:8eb1cd535b. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develOK235
source / vignettesOK226
linux-releaseOK214
macos-releaseOK246
macos-oldrelOK239
windows-develOK180
windows-releaseOK187
windows-oldrelOK140
wasm-releaseOK137

Exports:fcastelmmsgarchelm_BGmsgarchelm_NGmsgarchelm_OLS

Dependencies:askpassclicodacodetoolscolorspacecpp11curlDerivexpmfanplotfarverforeachforecastfracdiffgenericsggplot2glmnetgluegreyboxgtablehttrisobanditeratorsjsonlitelabelinglatticelifecyclelmtestmagrittrMAPAMASSMatrixmimeMSGARCHneuralnetnlmenloptrnnetnnfornumDerivopensslplotrixpracmaR6RColorBrewerRcppRcppArmadilloRcppEigenrlangS7scalesshapesmoothstatmodsurvivalsystexregtimeDatetsutilsurcaurootvctrsviridisLitewithrxtablezoo