Hi GAUSS users,
I am studying this paper:SPOT MARKET VOLATILITY AND FUTURES TRADING: THE PITFALLS OF USING A DUMMY VARIABLE APPROACH.
I can't write a program for running the paper in GAUSS. It is far from my ability for writing it.
I don't know is it possible to have a code fro running the paper model in GAUSS language? The model is a Markov-Switching-GARCH one with t distribution.
I would be grateful if anyone could possibly guide me about this.