Hybridization of MS-GARCH and ELM Model

Implements the three parallel forecast combinations of Markov Switching GARCH and extreme learning machine model along with the selection of appropriate model for volatility forecasting. For method details see Hsiao C, Wan SK (2014). , Hansen BE (2007). , Elliott G, Gargano A, Timmermann A (2013). .


Reference manual

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0.1.0 by Rajeev Ranjan Kumar, a year ago

Browse source code at https://github.com/cran/MSGARCHelm

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

Documentation:   PDF Manual  

GPL-3 license

Imports nnfor, MSGARCH, forecast

See at CRAN