Could anyone help regarding fitting a Hidden Markov GARCH model? I did not find any option to fit HMM-GARCH model in Eviews. Secondly, In Markov switching option, What does graph of filter probability implies? and how could i plot the graph of estimated variance from Markov switching model in "Regime Heteroskedasticity" title.
Thanks in Advance.
Tarun
Switching Regression and Markov Switching in Eviews 8
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tarunmicky
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Re: Switching Regression and Markov Switching in Eviews 8
Currently, EViews does not estimate switching GARCH models.
Regime heteroscedasticity is a different concept. It allows regimes to have different error variances, rather than to have separate conditional heteroscedastic Dynamics in each regime. You can extract the estimated variances from the equation output (i.e. look for log(sigma) coefficents). Filtered probabilities correspond to probability of being in each regime using the contemporaneous information.
Regime heteroscedasticity is a different concept. It allows regimes to have different error variances, rather than to have separate conditional heteroscedastic Dynamics in each regime. You can extract the estimated variances from the equation output (i.e. look for log(sigma) coefficents). Filtered probabilities correspond to probability of being in each regime using the contemporaneous information.
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