SWARCH model

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boch9898
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Joined: Mon Dec 08, 2014 1:34 am

SWARCH model

Postby boch9898 » Tue Dec 09, 2014 5:05 am

Hi, I am trying to apply Eviews 8 to estimate SWARCH model and there's a problem.
We know that Hamilton and Susmel's (1994) Markov switching ARCH model (SWARCH) is specified as SWARCH(k,q), which means it is a K-state, q th-order Markov switching ARCH process.
In Eviews8, in the Equation specification, I clicked on Regime specific error variances, and typed 2 in number of regimes.
My question is: Now my model is denoted as SWARCH(2,q), but how can I know the "q" in this settings? How am I supposed to find "q"?
Thank you.

EViews Gareth
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Re: SWARCH model

Postby EViews Gareth » Tue Dec 09, 2014 9:00 am

EViews does not have SWARCH models built in.


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