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'))
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 143 downloads 4 exports 76 dependencies

Last updated 4 years agofrom:8eb1cd535b. Checks:9 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 19 2025
R-4.5-winOKMar 19 2025
R-4.5-macOKMar 19 2025
R-4.5-linuxOKMar 19 2025
R-4.4-winOKMar 19 2025
R-4.4-macOKMar 19 2025
R-4.4-linuxOKMar 19 2025
R-4.3-winOKMar 19 2025
R-4.3-macOKMar 19 2025

Exports:fcastelmmsgarchelm_BGmsgarchelm_NGmsgarchelm_OLS

Dependencies:askpassclicodacodetoolscolorspacecurlDerivexpmfanplotfansifarverforeachforecastfracdiffgenericsggplot2glmnetgluegreyboxgtablehttrisobanditeratorsjsonlitelabelinglatticelifecyclelmtestmagrittrMAPAMASSMatrixmgcvmimeMSGARCHmunsellneuralnetnlmenloptrnnetnnfornumDerivopensslpillarpkgconfigplotrixpracmaquadprogquantmodR6RColorBrewerRcppRcppArmadilloRcppEigenrlangscalesshapesmoothstatmodsurvivalsystexregtibbletimeDatetseriestsutilsTTRurcaurootutf8vctrsviridisLitewithrxtablextszoo