The RATS Software Forum

Hello TomDoan, Thanks for your suggestions. But in fact, i have indeed done what you've said. I have successfully create a MS-GARCH with two regimes, thanks to your code written in 2005 for M.Gray's paper. And, I know how to create a X-GARCH in mean, but i don't know how to add a std. variance. I do...

Hello everyone, I am programing a Markov switching XGARCH in mean right now, but i have three questions: first, how can i add a std.variance in the mean equation; second, can anyone tell me that is there any criterion on how to add an exogenous variable in the variance equation; third, how can we re...