Markov EGARCH

Discussion of models with structural breaks or endogenous switching.
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Zied_bct
Posts: 11
Joined: Fri Dec 21, 2018 8:57 am

Markov EGARCH

Unread post by Zied_bct »

Good morning ,

There are an example about related to markov swiching GARCH model wih timevarying proabilities ??
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TomDoan
Posts: 7825
Joined: Wed Nov 01, 2006 4:36 pm

Re: Markov EGARCH

Unread post by TomDoan »

Markov Switching GARCH is a bad idea. (The approximations required aren't accurate enough for the model to work). Markov Switching GARCH with time-varying probabilities has to be just dreadful.
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