Package: RSDC 1.7-0

RSDC: Regime-Switching Dynamic Correlation Models

Estimation, forecasting, simulation, and portfolio construction for regime-switching models with exogenous variables as in Pelletier (2006) <doi:10.1016/j.jeconom.2005.01.013>.

Authors:David Ardia [aut, cre, cph, fnd], Benjamin Seguin [aut], Roosevelt Ymele Nguemo [aut]

RSDC_1.7-0.tar.gz
RSDC_1.7-0.zip(r-4.7-x86_64)RSDC_1.7-0.zip(r-4.6-x86_64)RSDC_1.7-0.zip(r-4.5-x86_64)
RSDC_1.7-0.tgz(r-4.6-x86_64)RSDC_1.7-0.tgz(r-4.6-arm64)RSDC_1.7-0.tgz(r-4.5-x86_64)RSDC_1.7-0.tgz(r-4.5-arm64)
RSDC_1.7-0.tar.gz(r-4.7-arm64)RSDC_1.7-0.tar.gz(r-4.7-x86_64)RSDC_1.7-0.tar.gz(r-4.6-arm64)RSDC_1.7-0.tar.gz(r-4.6-x86_64)
RSDC_1.7-0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
RSDC/json (API)

# Install 'RSDC' in R:

install.packages('RSDC', repos = c('https://ardiad.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/ardiad/rsdc/issues

Uses libs:

openblas– Optimized BLAS
c++– GNU Standard C++ Library v3

Datasets:

ff5ind - Five Fama-French industry portfolios with MCCC and VIX
greenbrown - Green vs Brown portfolio dataset
mccc - Media Climate Change Concerns (MCCC) index

On CRAN:

openblas cpp

5.26 score 2 stars 6 scripts 155 downloads 12 exports 8 dependencies

Last updated from:240e57714b. Checks:13 OK. Indexed: yes.

Target	Result	Time
linux-devel-arm64	OK	133
linux-devel-x86_64	OK	173
source / vignettes	OK	193
linux-release-arm64	OK	140
linux-release-x86_64	OK	161
macos-release-arm64	OK	162
macos-release-x86_64	OK	208
macos-oldrel-arm64	OK	92
macos-oldrel-x86_64	OK	215
windows-devel-x86_64	OK	145
windows-release-x86_64	OK	164
windows-oldrel-x86_64	OK	154
wasm-release	OK	120

Exports:rsdc_bootstrap rsdc_corr_bands rsdc_estimate rsdc_forecast rsdc_forecast_ahead rsdc_hamilton rsdc_likelihood rsdc_maxdiv rsdc_minvar rsdc_simulate rsdc_starts rsdc_viterbi

Dependencies:DEoptim generics mvtnorm numDeriv rbibutils Rcpp RcppArmadillo Rdpack

Getting started with RSDC

Rendered fromrsdc-intro.Rmdusingknitr::rmarkdown

Last update: 2026-07-22
Started: 2026-06-24

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Augment data with fitted RSDC regime information	augment.rsdc_fit
Plot a fitted RSDC model with 'ggplot2'	autoplot.rsdc_fit
Five Fama-French industry portfolios with MCCC and VIX (daily)	ff5ind
Glance at a fitted RSDC model	glance.rsdc_fit
Green vs Brown portfolio dataset	greenbrown
Media Climate Change Concerns (MCCC) index	mccc
RSDC: Regime-Switching Dynamic Correlation Models	RSDC-package RSDC
Parametric bootstrap standard errors for a fitted RSDC model	rsdc_bootstrap
Uncertainty bands for the predicted correlation path	rsdc_corr_bands
Estimate Regime-Switching or Constant Correlation Model (Wrapper)	rsdc_estimate
Methods for fitted RSDC models	coef.rsdc_fit confint.rsdc_fit logLik.rsdc_fit nobs.rsdc_fit plot.rsdc_fit predict.rsdc_fit print.rsdc_fit rsdc_fit-methods simulate.rsdc_fit summary.rsdc_fit vcov.rsdc_fit
Forecast Covariance/Correlation Paths from an RSDC Model	rsdc_forecast
Multi-step-ahead regime and correlation forecasts	rsdc_forecast_ahead
Hamilton Filter (Fixed P or TVTP)	rsdc_hamilton
Negative Log-Likelihood for Regime-Switching Correlation Models	rsdc_likelihood
Maximum-Diversification Portfolio (Rolling Weights)	rsdc_maxdiv
Minimum-Variance Portfolio (Rolling Weights)	rsdc_minvar
Simulate Multivariate Regime-Switching Data (TVTP)	rsdc_simulate
Data-driven warm starts for high-dimensional estimation	print.rsdc_starts rsdc_starts
Most likely regime path (Viterbi decoding)	rsdc_viterbi
Tidy a fitted RSDC model	tidy.rsdc_fit