To cite MSGARCH in publications use:

Ardia D, Bluteau K, Boudt K, Catania L, Trottier D (2019). “Markov-Switching GARCH Models in R: The MSGARCH Package.” Journal of Statistical Software, 91(4), 1–38. doi: 10.18637/jss.v091.i04.

Corresponding BibTeX entry:

    title = {{M}arkov-Switching {GARCH} Models in {R}: The {MSGARCH}
    author = {David Ardia and Keven Bluteau and Kris Boudt and Leopoldo
      Catania and Denis-Alexandre Trottier},
    journal = {Journal of Statistical Software},
    year = {2019},
    volume = {91},
    number = {4},
    pages = {1--38},
    doi = {10.18637/jss.v091.i04},