# Markov-Switching GARCH Models

## Documentation for package ‘MSGARCH’ version 0.17

- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Package NEWS.

## Help Pages

MSGARCH-package | The R package MSGARCH
AIC | Compute Akaike information criterion (AIC).
AMZN | Log return of Amazon inc. closing Value
BIC | Compute Bayesian information criterion (BIC).
cdf | Cumulative function.
create.spec | Model specification
DIC | Compute Deviance Information Criterion (DIC).
fit.bayes | Bayesian estimation.
fit.mle | ML estimation.
ht | Conditional variance in each regime.
kernel | Kernel function.
MSGARCH | The R package MSGARCH
pdf | Probability density function.
pit | Probability Integral Transform.
pred | Predictive function.
Pstate | Filtered state probabilities.
risk | Value-at-Risk And Expected-shortfall.
sim | Process simulation method.
simahead | Step ahead simulation method.
sp500 | Log return of the S&P 500 index closing Value
transmat | Transition Matrix.
unc.vol | Unconditional volatility of each regime.