SWARCH model
Posted: 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.
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.