MSGARCH-model strategy-test in R
Using the MSGARCH library on R
About MSGARCH library: http://keblu.github.io/MSGARCH/
Examples:
Ardia, D., Bluteau, K., Boudt, K., Catania, L., Trottier, D.-A. (2019). Markov-switching GARCH models in R: The MSGARCH package. Journal of Statistical Software, 91(4), 1-38. https://doi.org/10.18637/jss.v091.i04
Other references
Ardia, D., Bluteau, K., Boudt, K., Catania, L. (2018). Forecasting risk with Markov-switching GARCH models: A large-scale performance study International Journal of Forecasting, 34(4), 733-747. https://doi.org/10.1016/j.ijforecast.2018.05.004
Ardia, D., Bluteau, K., Ruede, M. (2019). Regime changes in Bitcoin GARCH volatility dynamics. Finance Research Letters, 29, 266-271. https://doi.org/10.1016/j.frl.2018.08.009
Repository contains implementation for tesing a trading algorithm based on MSGARCH model. The initial strategy is described in the article "Testing an Algorithm with Asymmetric Markov-Switching GARCH Models in US Stock Trading" (Authors: Oscar V. De la Torre-Torres, Dora Aguilasocho-Montoya, José Álvarez-García). Article link: https://www.mdpi.com/2073-8994/13/12/2346