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

Tom Doan ()

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. Makes extensive use of the functions on markov.src.

Language: RATS
Requires: RATS 8.00
Keywords: Markov; switching; GARCH; model (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/grayjfe1996.zip (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:rtz00080

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