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Markov EGARCH

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Markov EGARCH

Posted: Thu Oct 17, 2019 7:38 am
by Zied_bct
Good morning ,

There are an example about related to markov swiching GARCH model wih timevarying proabilities ??

Re: Markov EGARCH

Posted: Thu Oct 17, 2019 2:55 pm
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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