R Under development (unstable) (2017-07-27 r72981)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows >= 8 x64 (build 9200)

Matrix products: default

locale:
[1] LC_COLLATE=English_United States.1252 
[2] LC_CTYPE=English_United States.1252   
[3] LC_MONETARY=English_United States.1252
[4] LC_NUMERIC=C                          
[5] LC_TIME=English_United States.1252    

attached base packages:
[1] parallel  stats     graphics  grDevices utils     datasets 
[7] methods   base     

other attached packages:
[1] rugarch_1.3-6     snowfall_1.84-6.1 snow_0.4-2       
[4] MitISEM_1.2       AdMit_2.1.3       mvtnorm_1.0-6    
[7] GAS_0.2.4         MSGARCH_1.1      

loaded via a namespace (and not attached):
 [1] rgl_0.98.1                  Rcpp_0.12.12               
 [3] lattice_0.20-35             FNN_1.1                    
 [5] zoo_1.8-0                   assertthat_0.2.0           
 [7] rprojroot_1.2               digest_0.6.12              
 [9] mime_0.5                    truncnorm_1.0-7            
[11] R6_2.2.2                    backports_1.1.0            
[13] coda_0.19-1                 misc3d_0.8-4               
[15] nloptr_1.0.4                SkewHyperbolic_0.3-2       
[17] Matrix_1.2-10               desc_1.1.0                 
[19] devtools_1.13.2             stringr_1.2.0              
[21] htmlwidgets_0.9             shiny_1.0.5                
[23] compiler_3.5.0              numDeriv_2016.8-1          
[25] httpuv_1.3.5                DistributionUtils_0.5-1    
[27] htmltools_0.3.6             Rsolnp_1.16                
[29] multicool_0.1-10            expm_0.999-2               
[31] roxygen2_6.0.1              codetools_0.2-15           
[33] crayon_1.3.2                withr_1.0.2                
[35] MASS_7.3-47                 GeneralizedHyperbolic_0.8-1
[37] commonmark_1.2              grid_3.5.0                 
[39] jsonlite_1.5                DEoptim_2.2-4              
[41] xtable_1.8-2                magrittr_1.5               
[43] KernSmooth_2.23-15          stringi_1.1.5              
[45] adaptMCMC_1.2               RcppArmadillo_0.7.900.2.0  
[47] testthat_1.0.2              xml2_1.1.1                 
[49] xts_0.10-0                  spd_2.0-1                  
[51] tools_3.5.0                 ks_1.10.7                  
[53] fanplot_3.4.1               memoise_1.1.0              
[55] knitr_1.17                 


SECTION 3.1
-----------

Specification type: Markov-switching
Specification name: sGARCH_norm sGARCH_norm
Number of parameters in each variance model: 3 3
Number of parameters in each distribution: 0 0
------------------------------------------
Fixed parameters:
None
------------------------------------------
Across regime constrained parameters:
None
------------------------------------------


SECTION 3.2
-----------

Specification type: Markov-switching
Specification name: sGARCH_norm sGARCH_norm
Number of parameters in each variance model: 3 3
Number of parameters in each distribution: 0 0
------------------------------------------
Fixed parameters:
None
------------------------------------------
Across regime constrained parameters:
None
------------------------------------------
Fitted parameters:
         Estimate Std. Error   t value Pr(>|t|)
alpha0_1   0.0216     0.0001    149.18   <1e-16
alpha1_1   0.0870     0.0007    127.51   <1e-16
beta_1     0.8815     0.0002   4600.01   <1e-16
alpha0_2   0.0207     0.0004     58.42   <1e-16
alpha1_2   0.0054     0.0001     44.20   <1e-16
beta_2     0.9940     0.0000 101104.60   <1e-16
P_1_1      0.9783     0.0000  82196.28   <1e-16
P_2_1      0.9987     0.0149     67.20   <1e-16
------------------------------------------
Transition matrix:
      t+1|k=1 t+1|k=2
t|k=1  0.9783  0.0217
t|k=2  0.9987  0.0013
------------------------------------------
Stable probabilities:
State 1 State 2 
 0.9788  0.0212 
------------------------------------------
LL: -3389.2962
AIC: 6794.5925
BIC: 6841.1849
------------------------------------------
  generate 15000 samples 

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Specification type: Markov-switching
Specification name: sGARCH_norm sGARCH_norm
Number of parameters in each variance model: 3 3
Number of parameters in each distribution: 0 0
------------------------------------------
Fixed parameters:
None
------------------------------------------
Across regime constrained parameters:
None
------------------------------------------
Posterior sample (size: 1000)
           Mean     SD     SE   TSSE    RNE
alpha0_1 0.0254 0.0091 0.0003 0.0005 0.3461
alpha1_1 0.0750 0.0185 0.0006 0.0010 0.3740
beta_1   0.8892 0.0260 0.0008 0.0014 0.3662
alpha0_2 0.0118 0.0328 0.0010 0.0053 0.0381
alpha1_2 0.0006 0.0041 0.0001 0.0003 0.1402
beta_2   0.9975 0.0076 0.0002 0.0011 0.0454
P_1_1    0.9920 0.0044 0.0001 0.0003 0.1743
P_2_1    0.0778 0.0434 0.0014 0.0268 0.0026
------------------------------------------
Posterior mean transition matrix:
      t+1|k=1 t+1|k=2
t|k=1  0.9920  0.0080
t|k=2  0.0778  0.9222
------------------------------------------
Posterior mean stable probabilities:
State 1 State 2 
  0.907   0.093 
------------------------------------------
Acceptance rate MCMC sampler: 25.3%
n.mcmc: 10000
n.burn: 5000
n.thin: 10
------------------------------------------
AIC: 6824.1584
BIC: 6870.7508
DIC: 6838.3519
------------------------------------------


SECTION 3.3
-----------

  h=1   h=2   h=3   h=4   h=5 
1.030 1.040 1.018 1.019 1.041 
     Sim #1  Sim #2    Sim #3   Sim #4
h=1 -0.8591  0.8081 -2.580652 -0.02701
h=2  0.7558  0.9726 -0.193716 -0.30125
h=3 -0.2384 -0.2715 -0.138772 -0.69754
h=4  0.1083 -1.0461  0.007057  0.84937
h=5  0.8829 -0.4214 -0.793972 -0.20521


SECTION 3.4
-----------

      0.01   0.05
h=1 -2.430 -1.674
h=2 -2.357 -1.666
h=3 -2.455 -1.635
h=4 -2.447 -1.641
h=5 -2.419 -1.646
      0.01   0.05
h=1 -2.924 -2.171
h=2 -2.835 -2.123
h=3 -2.990 -2.144
h=4 -2.953 -2.146
h=5 -3.046 -2.151


SECTION 3.5
-----------

[1] 6841
    State 1 State 2
h=1  -1.638  -3.456
h=2  -1.617  -3.535
h=3  -1.612  -3.521
h=4  -1.634  -3.463
h=5  -1.604  -3.453
