regime switching multivariate garch

Question

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?

Please add your current code as an example. – JJJ Mar 13 '19 at 22:32 — JJJ, Mar 13 '19 at 22:32

score 1 · Answer 1 · answered Nov 15 '19 at 14:43

1

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.

answered Nov 15 '19 at 14:43

GeorgiosStrat

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score 1 · Answer 2 · answered May 09 '20 at 01:56

1

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

answered May 09 '20 at 01:56

Ameer

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regime switching multivariate garch

2 Answers2