program markov switching EGARCH

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Tri Marlina asked 2 years ago

please help me, I need a program  Markov switching EGARCH with GAUSS, this program would I use for my thesis research to examine the state of the financial crisis in Indonesia. Can anyone help me?

1 Answers
RonSchoenberg answered 2 years ago

There isn't such a model in any of Aptech System's Applications. If you able to provide a procedure for computing the log-likelihood of this model, you would be able to use the Constrained Maximum Likelihood Application (CMLMT) to estimate the parameters and compute standard errors http://www.aptech.com/products/gauss-applications/constrained-maximum-likelihood-mt/.