Dueker JBES 1997 MS-GARCH models
Re: Dueker JBES 1997 MS-GARCH models
Most likely, none of the above. Do you have any reason to believe that any form of MS model is required?
Re: Dueker JBES 1997 MS-GARCH models
I am really sorry for asking so many questions.
I do not have a clear reason to believe that any form of MS model is required. I just want to see if introduction of exchange rate futures contract has brought about a high volatility regime in spot market. I want to see if this event has increased the volatility. As I said before the methodology is based on this paper. http://onlinelibrary.wiley.com/doi/10.1 ... 3/abstract.
I do not have a clear reason to believe that any form of MS model is required. I just want to see if introduction of exchange rate futures contract has brought about a high volatility regime in spot market. I want to see if this event has increased the volatility. As I said before the methodology is based on this paper. http://onlinelibrary.wiley.com/doi/10.1 ... 3/abstract.
Re: Dueker JBES 1997 MS-GARCH models
There are other types of "switching" besides Markov switching. If you have a date-certain at which there has been a change, then do a GARCH-X model with a dummy for the period where things change.
Re: Dueker JBES 1997 MS-GARCH models
Thank you for your suggestion.
Can I estimate GARCH-X models in RATS?
Can I estimate GARCH-X models in RATS?
Re: Dueker JBES 1997 MS-GARCH models
Yes. See Section 9.3.6 in the User's Guide.
Last bumped by TomDoan on Tue Jan 30, 2018 3:31 pm.