Thomas Chuffart

Aix-Marseille University - Aix-Marseille School of Economics

2 rue de la Charité

Marseille, 13236

France

University of Angers - Research Group in Quantitative Saving (GREQAM)

Centre de la Vieille Charité

2, rue de la Charité

Marseille, 13002

France

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An Implementation of Markov Regime Switching GARCH Models in Matlab

Number of pages: 9 Posted: 05 Jan 2017
Thomas Chuffart
Aix-Marseille University - Aix-Marseille School of Economics
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Abstract:

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Matlab toolbox, GARCH, Markov-Switching, Time series analysis, Volatility