Multivariate MS GARCH

[banya56]

Hi.

I have some question about MS GARCH code. I want to change the MS GARCH code in 'RATS handbook for Swithching models and structural breaks'.

Book example is for univariate case and i want to change it to multivariate case.

So, i try to change the code but it is really hard to me.

I have problem in chnging GARCHRegimeGaussF part and i hope your help.

And also i wonder about using MS source code in multivariate case.

Could i use the MS source code in multivariate case???

I have attached the code which is changed it myself and data file.

Thanks

[TomDoan]

Long before you have to deal with how to program it, you have to figure out how to (and whether you can) extend the Dueker filter to the multivariate case. Do you have a paper on which you're basing this? There's already about a page of algebra to work out the Dueker filter for the univariate case, and the multivariate is likely to be much more complicated.

[banya56]

Thanks for reply.

Actually i couldn't find the basing paper or book about multivariate case and Some paper just mention about multivariate MS GARCH with no algebra.

As you mentioned, I have read the Dueker(1997) paper again and try to extend the Dueker filter to the multivariate case. But i couldn't yet.

I'll try harder and may i ask you again??

Thanks for your advise.