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-...
- 27.2k
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 ...
- 7,293
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 ...
1
vote
Multivariate Markov Regime switching GARCH
There is a MATLAB code developed recently to handle the multivariate MS GARCH model, check this link
- 21
1
vote
Multivariate Markov Regime switching GARCH
It seems to be included in statsmodels package, take a look at this example?
- 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 ...
- 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 ...
- 13.4k
Only top scored, non community-wiki answers of a minimum length are eligible