twinkle

The twinkle package provides an S4 framework for estimating and working with  logistic smooth transition ARMAX models with a maximum of 4 states, and a choice of static, mixture or GARCH variance. Methods for specification, estimation, filtering, forecasting, simulation and rolling estimation/forecasting are available, as are methods for inference and testing and useful extractors.

The package is in active development in my bitbucket repository. Download and installation details can be found here.