6 votes
Accepted

Markov-Switching E-GARCH with R

There is now a package for that: The MSGARCH package, you can find it on CRAN. You can find an exhaustive vignette here: David Ardia, Keven Bluteau, Kris Boudt, Denis-Alexandre Trottier: Markov-...
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  • 26.9k
3 votes
Accepted

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

I don't understand how technical indicators are at all relevant to the question. State probabilities can be generated directly from the returns if the model is known. There is no need to guess at ...
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  • 537
2 votes
Accepted

Markov switching regime for stock returns

Two things to note: First you are assuming that stock returns follow some type of AR(1) which I do not think is a reasonable model; Casting consideration (1) aside, you can estimate what you want by ...
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  • 6,860
2 votes

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

For anyone looking for an answer to a similar question as the OP: MS-VAR works only for stationary time series (as far as I understand). You need to de-trend your time series: either by subracting ...
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1 vote

Multivariate Markov Regime switching GARCH

There is a MATLAB code developed recently to handle the multivariate MS GARCH model, check this link
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  • 21
1 vote

Multivariate Markov Regime switching GARCH

It seems to be included in statsmodels package, take a look at this example?
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  • 609
1 vote

Which method would you use to compare if a time series of financial returns has more "clusterized volatility" than another?

You can model the return as a Hidden Markov Model (HMM) with several volatility states. The number of states can be chosen based on an objective model selection criterion, like AIC or BIC. For any ...
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  • 242
1 vote

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

I think your time series is too short. Yours has lenght 10 and you estimate with parameter niterblkopt = 10. E.g. if you have a time series twice as long then it ...
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  • 13.3k

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