Search found 5 matches
- Tue Jul 08, 2014 4:40 am
- Forum: Estimation
- Topic: NA values in Markov models
- Replies: 3
- Views: 4145
Re: NA values in Markov models
I tried to attach one of the files, but there is message "The extension wf1 is not allowed." How could I attach a wf1 file?
- Sun Jul 06, 2014 8:04 am
- Forum: Estimation
- Topic: NA values in Markov models
- Replies: 3
- Views: 4145
NA values in Markov models
Hello!! I try to run a Markov model taking as a sample 2,472 observations. When I run the model using 2 regimes I have all the Information that the EVIEWS provides available. However, when I try to examine if more than 2-regimes(states) models perform better that the 2_regimes, I have not the Inform...
- Tue Feb 25, 2014 5:08 pm
- Forum: Estimation
- Topic: Markov Switching Regime: volatility value in the regimes?
- Replies: 9
- Views: 12432
Re: Markov Switching Regime: volatility value in the regimes
In Hamilton (1989) the writer Reports the two regimes' results. This report includes: each regime's mean return and each regime's volatility. The regime's using the Hamilton approach may be distinguished in low and High volatility regimes. How can I report each regime's volatility using E-views?
- Mon Feb 24, 2014 7:49 pm
- Forum: Estimation
- Topic: Markov Switching Regime: volatility value in the regimes?
- Replies: 9
- Views: 12432
Re: Markov Switching Regime: volatility value in the regimes
My results regarding the log(sigma) are the following: Log(Sigma) Coefficient Std.Error z-Statistic Prob. regime 1 -4.68 0.025 -189.78 0.0000 regime 2 -3.75 0.024 -159.40 0.0000 My question is the following: how can I calculate each regime's (i) volatility (ii) the volatility's std. error and the (i...
- Sat Feb 22, 2014 12:13 pm
- Forum: Estimation
- Topic: Markov Switching Regime: volatility value in the regimes?
- Replies: 9
- Views: 12432
Markov Switching Regime: volatility value in the regimes?
I recently start to use the Eviews-8. I apply the Hamilton's (1989) model as you present in the Manual, but I have a crucial question to make: Hamilton presents in his results the volatility in Regime 1 and the volatility in regime 2. How can I find the specific values using Eviews? Thanks in advance.
