Markov Switching DCC-GARCH model with exogenous variable
Posted: Tue Aug 02, 2011 7:33 am
Hi,
I would like to estimate a Markov Switching DCC-GARCH model with exogenous variable in the variance equation.
I would like to know if the model can be done with modification in the swarch.prg
Could you please suggest me any references (RATS codes).
May I get any hints for that?
I’m using Rats 7
Thanks in advance
I would like to estimate a Markov Switching DCC-GARCH model with exogenous variable in the variance equation.
I would like to know if the model can be done with modification in the swarch.prg
Could you please suggest me any references (RATS codes).
May I get any hints for that?
I’m using Rats 7
Thanks in advance