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I am looking for a R library for modeling a Markov-Switching E-GARCH process.

In other questions at StackExchange related to GARCH models, the package rugarch is often mentionned. Do you recommend it in my case?

I would like that R library I am seeking had the following features:

  • allows to observe/control the volatility term structure
  • allows to impose long-term volatility
  • has calibration routines
  • includes forecasting procedures

In fact, I would like to carry out a volatility analysis work à la Carole Alexander, as described in her book Market Risk Analysis Volume II: Practical Financial Econometrics.

Thank you.

share|improve this question
I don't think Markov-switching GARCH models are implemented in R as of now. "rugarch" is indeed a good package for univariate GARCH (and ARFIMA) models, and "rmgarch" is a useful package for multivariate GARCH models, but there is no Markov switching there. What do you mean exactly by "impose long-term volatility"? – Richard Hardy Feb 25 at 19:37

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