Markov-switching GARCH models have become popular to model the structural break in the conditional variance dynamics of financial time series. In this paper, we describe the R package MSGARCH which implements Markov-switching GARCH-type models very effficiently by using C object-oriented programming techniques. It allows the user to perform simulations as well as Maximum Likelihood and Bayesian estimation of a very large class of Markov-switching GARCH-type models. Risk management tools such as Value-at-Risk and Expected-Shortfall calculations are available. An empirical illustration of the usefulness of the R package MSGARCH is presented.

https://cran.r-project.org/web/packages/MSGARCH/index.html