RATS programs to replicate Dueker(1997) Markov switching GARCH models

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Dueker(1997), "Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility," J of Business & Economic Statistics, vol. 15, no 1, 26-34. This estimates a variety of Markov Switching GARCH models.

Language: RATS
Requires: RATS 8.00
Keywords: MS GARCH model; Markov switching GARCH (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/dueker_jbes1997.zip (application/zip)

Related works:
Journal Article: Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00048

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