Hi, I have estimated a bivariate and asymmetric VAR-GARCH model with eviews but now I need to estimate a Markov regime Switching bivariate GARCH. I don't know how to program this new model. Could somebody help me?
Thanks a lot. Paz
Search found 2 matches
- Tue Sep 10, 2013 3:04 am
- Forum: Programming
- Topic: MRS-BEKK
- Replies: 1
- Views: 2299
- Tue Sep 03, 2013 3:08 am
- Forum: Estimation
- Topic: Markov regime switching GARCH
- Replies: 0
- Views: 2414
Markov regime switching GARCH
Hi,
I would like to estimate a bivariate Markov Regime Switching GARCH but I don't know how to do. I have used the BV-GARCH-PRG for estimating a bivariate BEKK-GARCH but I don't know how to estimate with a markov regime switching.
Could somebody help me? Thanks a lot, Paz
I would like to estimate a bivariate Markov Regime Switching GARCH but I don't know how to do. I have used the BV-GARCH-PRG for estimating a bivariate BEKK-GARCH but I don't know how to estimate with a markov regime switching.
Could somebody help me? Thanks a lot, Paz