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). .


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install.packages("MSGARCHelm")

0.1.0 by Rajeev Ranjan Kumar, 2 months 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