Markov-Switching E-GARCH with R

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.

• 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"? Feb 25, 2016 at 19:37
• @RichardHardy: Now they are, please see my answer below: quant.stackexchange.com/a/33609/12 Apr 10, 2017 at 19:48
• @vonjd, thank you, it will be interesting to take a look. Apr 11, 2017 at 5:17

For modelling EGARCH you set model = "eGARCH" in the create.spec function (see p. 2 in the abovementioned vignette).