Moreover, have developed a toolbox which permit to estimate Markov-Switching GARCH models with Matlab. It permits to simulate GARCH processes, Markov-Switching GARCH models (Haas & al (2004), Klaassen (2002)) and to estimate these models. This toolbox runs under MATLAB 2016a versions.
If you have any questions, don’t hesitate to contact me. It can have still some bugs, if you find one, report it to my email containing:
- Name of functions and lines corresponding
- Reason why you think it is a bug
- Zip file with codes you’re running (including data and scripts)
- MATLAB ’s error message (if applicable)
Please read the readme file to have more informations on the toolbox.
- MSGarch Toolbox (MSGtool)
- Readme file
How to cite:
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