EViews.com

Many models of financial variables now make use of regime-switching methodology. An early example is found in Gray's paper, "Modeling the conditional distribution of interest rates as a regime-switching process", J. of Financial Economics 42, 1996, pp 27-62. This uses regime-switching GARCH models on interest rates.

I have not found any built-in mechanism to use this type of regime-switching estimation methodology in EViews. Have I missed something? If not, is this on your "to do" list?

Regards
Donihue

It is not currently a built-in, but is on our list, though to be honest we hadn't really had plans to do the GARCH variants of these models in a first iteration. Our experience is that even simpler models can be tricky to estimate and we want to make certain that we iron out all of the kinks prior to tackling the GARCH and state space extensions to the standard regression specifications.

I'll make a note of the specific GARCH request and give it some thought...

Thanks, Glenn. As you rightly point out, the important first step is to build in estimation strategies for régime-switching models; GARCH could come later!

Regards
Donihue