Economics, Econometrics and Finance
4 years ago

New tool predicts market volatility for better risk management decisions!

Journal of Statistical Software
Markov-Switching GARCH Models in <i>R</i>: The <b>MSGARCH</b> Package
David Ardia, Keven Bluteau, Kris Boudt, Leopoldo Catania, Denis-Alexandre Trottier

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The MSGARCH package in R helps analyze changes in volatility over time in financial data. It uses Markov-switching GARCH models to capture different market conditions. The package allows for simulations, estimations, and forecasts of various GARCH-type models. It also provides tools for risk management, such as estimating volatility and predicting potential losses. The package was tested on exchange rate and stock market data, showing its wide range of applications in financial analysis.