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

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