1
$\begingroup$

Sorry to bother you with this request but, does anyone know where I could find a matlab or R code to estimate a regime switching stochastic volatility model (discrete)?

Thank you very much.

$\endgroup$
  • $\begingroup$ Hae you tried R-bloggers? $\endgroup$ – Jan Sila Aug 5 '16 at 23:19
  • $\begingroup$ Yes I have. But nothing. I only found a code for Winbugs but it uses particle filters. I was looking for something more lets say traditional. I would also be interésted in finding a code for AR(1) bayesian markov switching in mean. $\endgroup$ – user24694 Oct 4 '16 at 3:04

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.