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Questions tagged [markov-switching]

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Multivariate Markov Regime switching GARCH

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 ...
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0answers
104 views

Hidden Markov Models for Higher frequency trading

I'm curious if anyone can validate my train of thought here with the utility of Hidden Markov models for modeling things happening on higher frequency trading activity versus lower frequency, and in ...
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1answer
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Which method would you use to compare if a time series of financial returns has more “clusterized volatility” than another?

It is known that the historical series of financial returns are characterized by the so-called volatility clustering. Suppose we approximate the number of two-type clusters, namely the high and low ...
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difference between Meucci fully flexible probability and markov regime swtiching models?

What is the difference between A. Meucci's Fully Flexible Probability (FFP) and Markov Regime Switching Models ? They seem very similar to me, FFP based on state variables that define regimes will ...
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1answer
79 views

Markov switching regime for stock returns

I want to see if day of the week (or month) has some effect on stock returns. I want to use Markov switching model to identify different regimes in time series. If $Y_1,Y_2,...Y_t$ are stock returns,...
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Is there a way I could find a matlab or R code to estimate a regime switching stochastic volatility model (discrete)?

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.
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2answers
585 views

Error when trying to estimate a Markov-switching Var model in R

I'm trying to estimate a Markov-switching VAR in R using the command msvar. These are the first 10 entries of my two time series. I have 798. When I try to run this I get an Error message ...
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734 views

Markov-Switching Multifractal and FX Rates

Is there a better model than Markov-Switching Multifractal (MSM) for detecting regime shifts in FX rates across multiple time horizons? I am especially interested in the different aspects of the ...
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1answer
790 views

Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians

I want to solve the following optimization problem: What is the optimal general trading strategy (in the sense of the highest Sharpe ratio) on a time series which is the result of a Hidden Markov ...
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2answers
651 views

Is HMM of Volatility any different from a simple filter?

I have constructed a simple HMM (Hidden Markov Model) with 2 states on the Vol (stdev) of a time series of currency returns. The state vector I produce looks reasonable, in the sense that it appears ...
6
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1answer
1k views

Markov-Switching E-GARCH with R

I am looking for a R library for modeling a Markov-Switching E-GARCH process. In other questions at StackExchange related to GARCH models, the package rugarch is often mentionned. Do you recommend it ...