MS-GARCH
Implementation of the MSGARCH Package in R for the following datasets:
- S&P 500 index closing value log returns
- Free physical memory dataset
Emphasis was given to short-term forecasting and unconditional volatility of the models.
RESULTS
REFERENCES
[1] Thijs Benschop, Brenda López Cabrera. (2014).Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models.