Markov Switching DCC-GARCH model with exogenous variable

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sana
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Joined: Sat Jun 21, 2008 3:35 am

Markov Switching DCC-GARCH model with exogenous variable

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Hi,

I would like to estimate a Markov Switching DCC-GARCH model with exogenous variable in the variance equation.
I would like to know if the model can be done with modification in the swarch.prg
Could you please suggest me any references (RATS codes).

May I get any hints for that?
I’m using Rats 7

Thanks in advance
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