GRAYJFE1996: RATS programs to replicate Gray's 1996 Regime Switching GARCH paper

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replicates work on Markov-switching GARCH models from Gray(1996), "Modeling the conditional distribution of interest rates as a regime-switching process", J. of Financial Economics, vol 42, pp 27-62.

Language: RATS
Requires: RATS 11.00
Keywords: Markov; switching; GARCH; model (search for similar items in EconPapers)
Date: 2026-01-02
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Downloads: (external link)
https://estima.com/procedures/GrayJFE1996.rprj (application/zip)

Related works:
Journal Article: Modeling the conditional distribution of interest rates as a regime-switching process (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtj00038

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