The RATS Software Forum

I think I understand. thank you for all the assistance. the link you provided was very helpful.

ok. that makes sense. thanks for the clarification. Is there a code or procedure i can use to regress the smoothed probability on capital inflows?

i think i am confused. how were they able to regress the low and high volatility regimes on capital flows?

my reference paper is "Capital Inflows and Exchange Rate Volatility in Korea" by Choi, Chung and Kim. the paper uses elder's 2004 model as well a hamilton markov model. but i dont know how to incorporate the regime switching part. Any assistance would be appreciated.

not really. my professor suggested i try the model. my paper is on estimating the effects of commodity price volatility regimes on stock returns.Or could a normal VAR GARCH-BEKK be used instead?

does anyone have codes for estimation of a bivariable regime switching VAR-BEKK model or regime switching VAR-GARCH-in-mean model? any assistance would be highly appreciated.