Search found 5 matches

by evasileiou
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?
by evasileiou
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...
by evasileiou
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?
by evasileiou
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...
by evasileiou
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.

Go to advanced search