Package: SBAGM 0.1.0

SBAGM: Search Best ARIMA, GARCH, and MS-GARCH Model

Get the most appropriate autoregressive integrated moving average, generalized auto-regressive conditional heteroscedasticity and Markov switching GARCH model. For method details see Haas M, Mittnik S, Paolella MS (2004). <doi:10.1093/jjfinec/nbh020>, Bollerslev T (1986). <doi:10.1016/0304-4076(86)90063-1>.

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

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3 exports 0.00 score 67 dependencies 2 scripts 130 downloads

Last updated 4 years agofrom:9c759b4315. Checks:OK: 7. Indexed: yes.

Exports:appgarchappmsgarchARIMAAIC

Dependencies:chronclicodacolorspacecurlDistributionUtilsexpmfanplotfansifarverFNNforecastfracdiffGeneralizedHyperbolicgenericsggplot2gluegtableisobandjsonlitekernlabKernSmoothkslabelinglatticelifecyclelmtestmagrittrMASSMatrixmclustmgcvMSGARCHmulticoolmunsellmvtnormnlmenloptrnnetnumDerivpillarpkgconfigpracmaquadprogquantmodR6RColorBrewerRcppRcppArmadillorlangRsolnprugarchscalesSkewHyperbolicspdtibbletimeDatetruncnormtseriesTTRurcautf8vctrsviridisLitewithrxtszoo