I have a regression with 4 independent variables and a dependent variable. I want to implement a Regime switching GARCH model but have been unable to find a package in R,Python or Matlab. MSGARCH package available in R is for uni-variate series series, apart from this I haven't come across any available packages. Is there any such package available?
It seems to be included in statsmodels package, take a look at this example?
There is a MATLAB code developed recently to handle the multivariate MS GARCH model, check this link