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I have a regression with 4 independent variables and a dependent variable. I want to implement a Regime switching GARCH model but have been unable to find a package in R,Python or Matlab. MSGARCH package available in R is for uni-variate series series, apart from this I haven't come across any available packages. Is there any available package?

pulsar
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2 Answers2

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In Matlab, there is available the MS_Regress-Matlab, which can be connected to the

MFE toolbox of Sheppard for more functionalities.

Let me know if this helps, or if you have found any other way.

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There is a MATLAB code developed recently to handle the multivariate MS GARCH model, check this link

Ameer
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