作者说仅有估计”方差“，无提供“均值”的估计，可能需搭配其他package。

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The R package MSGARCH
Description

The R package MSGARCH implements a comprehensive set of functionalities for Markov-switching GARCH (Haas et al. 2004a) and Mixture of GARCH (Haas et al. 2004b) models, This includes fitting, filtering, forecasting, and simulating. Other functions related to Value-at-Risk and Expected-Shortfall are also available.
The main functions of the package are coded in C++ using Rcpp (Eddelbuettel and Francois, 2011) and RcppArmadillo (Eddelbuettel and Sanderson, 2014).
MSGARCH focuses on the conditional variance (and higher moments) process. Hence, there is no equation for the mean. Therefore, you must pre-filter via AR(1) before applying the model.
The MSGARCH package implements a variety of GARCH specifications together with several conditional distributions. This allows for a rich modeling environment for Markov-switching GARCH models. Each single-regime process is a one-lag process (e.g., GARCH(1,1)). When optimization is performed, we ensure that the variance in each regime is covariance-stationary and strictly positive (refer to the vignette for more information).
We refer to Ardia et al. (2017) https://ssrn.com/abstract=2845809 for a detailed introduction to the package and its usage.
The authors acknowledge Google for financial support via the Google Summer of Code 2016 & 2017, the International Institute of Forecasters and Industrielle-Alliance.
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看来R软件还是不能做。

楼主这个问题解决了吗？我最近也在做这个模型。遇到了相似问题

没有解决

请问下楼主问题解决了么？最近我也在做这方面的模型，均值与方差方程一并估计，感觉有点难，希望您可以帮助解决，qq号：1439319283

楼主这个问题解决了么？我还有个问题，这个包可以将一个外生变量引入到条件方差方程中估计么？

用MS-ARMA-GARCH来做可以吗