SBAGM: Search Best ARIMA, GARCH, and MS-GARCH Model

Get the most appropriate autoregressive integrated moving average, generalized auto-regressive conditional heteroscedasticity and Markov switching GARCH model. For method details see Haas M, Mittnik S, Paolella MS (2004). <doi:10.1093/jjfinec/nbh020>, Bollerslev T (1986). <doi:10.1016/0304-4076(86)90063-1>.

Version: 0.1.0
Depends: R (≥ 2.10)
Imports: MSGARCH, forecast, rugarch
Published: 2020-10-28
Author: Rajeev Ranjan Kumar [aut, cre], Girish Kumar Jha [aut, ths, ctb], Dwijesh C. Mishra [ctb], Neeraj Budhlakoti [ctb]
Maintainer: Rajeev Ranjan Kumar <rrk.uasd at gmail.com>
License: GPL-3
NeedsCompilation: no
CRAN checks: SBAGM results

Documentation:

Reference manual: SBAGM.pdf

Downloads:

Package source: SBAGM_0.1.0.tar.gz
Windows binaries: r-devel: SBAGM_0.1.0.zip, r-release: SBAGM_0.1.0.zip, r-oldrel: SBAGM_0.1.0.zip
macOS binaries: r-release (arm64): SBAGM_0.1.0.tgz, r-release (x86_64): SBAGM_0.1.0.tgz, r-oldrel: SBAGM_0.1.0.tgz

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