program code Gauss for markov switching threshold garch

Does anyone have a program code Gauss Markov switching GARCH threshold?
thank you

1 Answer



0



There is not an Aptech supported GARCH threshold model procedure. The Time Series MT includes the Hansen threshold model, which could possibly be adapted to fit a GARCH model.
In addition, Philip Hans Franses and Fick vn Dijk's book "Nonlinear Time Series Models in Empirical Finance", is written using GAUSS for modeling and estimation. While I am not positive about the complete contents of the book, you may find a GARCH threshold model example with accompanying GAUSS code provided. Further information, including datasets and downloadable GAUSS codes are found at http://people.few.eur.nl/djvandijk/nltsmef/nltsmef.htm.

 

 

Erica

60

Your Answer


You must login to post answers.

Have a Specific Question?

Get a real answer from a real person

Need Support?

Get help from our friendly experts.

Try GAUSS for 30 days for FREE

See what GAUSS can do for your data

© Aptech Systems, Inc. All rights reserved.

Privacy Policy