Markov-Switching E-GARCH process

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Markov-Switching E-GARCH process

Edouard Tallent

Hi everyone,

I have got no reply at quant.stackexchange.com. So, I am taking my chance here. 

I am looking for a R library for modeling a Markov-Switching E-GARCH process.

I would like that that R library 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,
Édouard

http://quantcorner.wordpress.com/


Thank you.


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