I am looking for R function for modelling Markov Switching ARMA-GARCH. I found package MSGARCH but that package can not accommodate mean model. Do you have an idea for my case?

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  • $\begingroup$ What are you trying to do using the MSGARCH package . Are you trying to forecast volatility using a Markov switching garch model ? $\endgroup$ – Pelumi Mar 14 at 16:25

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