Markov switching GARCH models (MSGARCH)
| Responsable du projet | David Ardia |
| Collaborateur | Keven Bluteau |
| Partenaire | Kris Boudt |
| Résumé |
The goal of this project is to implement a package that will give
the financial community tools to estimate, simulate, and test
several MSGARCH models used in volatility (i.e., square root of
conditional variance) forecasting. By relying on a hidden/latent
variable, these models are able to switch among several processes
for the conditional volatility and therefore, account for
structural break in the volatility dynamics. MSGARCH have gained a
huge interest in the financial risk management community over the
recent years as they are better at forecasting volatility and
provide more accurate risk measures. The package will follow the
structure of rugarch since this is one of the most used packages
for volatility modeling. The core will be implemented in C++ while
simple R functions will facilitate usage of the package. Currently,
no R package is available to estimate these models. |
| Mots-clés |
MSGARCH, GARCH, R |
| Page internet | http://https://summerofcode.withgoogle.com/projects/?sp-s... |
| Type de projet | Recherche appliquée |
| Domaine de recherche | Financial econometrics, risk management |
| Source de financement | Google Summer of Code |
| Etat | Terminé |
| Début de projet | 4-2016 |
| Fin du projet | 8-2016 |
| Budget alloué | 5,500 USD |
| Contact | David Ardia |