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.