Markov-switching GARCH models in R: The MSGARCH package

David Ardia*, Keven Bluteau, Kris Boudt, Leopoldo Catania, Denis Alexandre Trottier

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

We describe the package MSGARCH, which implements Markov-switching GARCH (generalized autoregressive conditional heteroscedasticity) models in R with efficient C++ object-oriented programming. Markov-switching GARCH models have become popular methods to account for regime changes in the conditional variance dynamics of time series. The package MSGARCH allows the user to perform simulations as well as maximum likelihood and Bayesian Markov chain Monte Carlo estimations of a very large class of Markov-switching GARCH-type models. The package also provides methods to make single-step and multi-step ahead forecasts of the complete conditional density of the variable of interest. Risk management tools to estimate conditional volatility, value-at-risk, and expected-shortfall are also available. We illustrate the broad functionality of the MSGARCH package using exchange rate and stock market return data.

Original languageEnglish
Article number4
Pages (from-to)1-38
Number of pages38
JournalJournal of Statistical Software
Volume91
Issue number4
DOIs
Publication statusPublished - 31 Oct 2019

Keywords

  • Conditional volatility
  • Forecasting
  • GARCH
  • Markov-switching
  • MSGARCH
  • R software

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