An Implementation of Markov Regime Switching GARCH Models in Matlab

9 Pages Posted: 5 Jan 2017

See all articles by Thomas Chuffart

Thomas Chuffart

Aix-Marseille University - Aix-Marseille School of Economics; University of Angers - Research Group in Quantitative Saving (GREQAM)

Date Written: January 2, 2017

Abstract

MSGtool is a MATLAB toolbox which provides a collection of functions for the simulation and estimation of a large variety of Markov Switching GARCH (MSG) models. Currently, the software integrates a method to select the best starting values for the estimation and a post-estimation analysis to ensure the convergence. The toolbox is very flexible a user-friendly with a large number possible options. In this paper, we give some illustrative examples.

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

Suggested Citation

Chuffart, Thomas, An Implementation of Markov Regime Switching GARCH Models in Matlab (January 2, 2017). Available at SSRN: https://ssrn.com/abstract=2892688 or http://dx.doi.org/10.2139/ssrn.2892688

Thomas Chuffart (Contact Author)

Aix-Marseille University - Aix-Marseille School of Economics ( email )

2 rue de la Charité
Marseille, 13236
France

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

Centre de la Vieille Charité
2, rue de la Charité
Marseille, 13002
France

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