We describe the package MSGARCH, which implements Markov-switching GARCH models in R with efficient C object-oriented programming. Markov-switching GARCH models have become popular methods to account for regime changes in the conditional variance …
NSE is an R package for computing the numerical standard error (NSE), an estimate of the standard deviation of a simulation result if the simulation experiment were to be repeated many times. The package provides a set of wrappers around several R …