Does anyone know if there exists any Markov regime-switching GARCH with time-varying transition matrix package or tutorial in R? I know of the "MSGARCH" package by D. Ardia et al. but the transition matrix is constant. Thanks in advance!
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For the purpose of my thesis I created a fork of the R-package MSGARCH that incorporates time-varying transition probabilities. The probabilities are estimated through a multinomial logistic functional form. I am sorry for the late answer - maybe someone else finds this useful. You can check it out at https://github.com/mkaywins/MSGARCH
