Markov Switching MV-GARCH

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Baroni77
Posts: 8
Joined: Wed Aug 07, 2013 6:50 am

Markov Switching MV-GARCH

Unread post by Baroni77 »

Hi there,
I could not find any code that extend the Markov Switching GARCH model of Gray (JFE, 1996) to the MV-GARCH context. Could you please help with RATS coding this model given in pg.477-478 in the paper attached?

Thank you
Attachments
AngChen AsymmetricCorrelations.pdf
Markov Switching MV-GARCH page 477-478
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Markov Switching MV-GARCH

Unread post by TomDoan »

I'm not a great fan of Gray's method; Dueker's filter seems to work quite a bit better. (Both of them require an approximation to replace the complicated history with a single result for each regime; Dueker's waits longer to do the collapsing).
Baroni77
Posts: 8
Joined: Wed Aug 07, 2013 6:50 am

Re: Markov Switching MV-GARCH

Unread post by Baroni77 »

Hi Tom,

thanks for this.

I was after a bivariate garch extension. Is this possible?

Thanks
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