Leopoldo CataniaAARHUS UNIVERSITY

SOFTWARE

Research you
can build on.

R packages for volatility, dynamic distributions, forecasting, and model comparison.

01

MSGARCH

Markov-switching GARCH models

Estimation and forecasting with Markov-switching GARCH models for time-varying volatility and risk.

CRAN & documentation ↗Package paper ↗

install.packages("MSGARCH")

02

GAS

Generalized autoregressive score models

Tools for estimating and forecasting time-varying conditional distributions using score-driven models.

CRAN & documentation ↗Package paper ↗

install.packages("GAS")

03

eDMA

Dynamic model averaging

Dynamic model averaging for applications in economics and finance.

CRAN & documentation ↗Package paper ↗

install.packages("eDMA")

04

MCS

Model confidence sets

Model comparison using the Model Confidence Set procedure.

CRAN & documentation ↗Package paper ↗

install.packages("MCS")

These packages are collaborative projects. Full authorship and citation information are available on each package’s CRAN page and in the accompanying paper.