An Implementation of Markov Regime Switching GARCH Models in Matlab

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