Markov regime switching GARCH

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prico
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Joined: Mon Sep 02, 2013 4:32 am

Markov regime switching GARCH

Postby prico » Tue Sep 03, 2013 3:08 am

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
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