Does anyone have a program code Gauss Markov switching GJR-GARCH ?
GAUSS has no internal procedure for estimating GJR-GARCH markov-switching models. However, there are several programs in GAUSS which you may be able to apply towards programming a GJR-GARCH markov-switching model.
First, the TSMT 2.0 application includes separate procedures for estimating the GJR-GARCH model and markov-switching models. You may be able to apply these programs towards building your own code for a GJR-GARCH markov switching model. More information about GAUSS applications, including TSMT 2.0, can be found at /products/gauss-applications/ .
Alternatively, CJ Kim and Charles Nelson provide GAUSS code for a TVPGARCH model, which can be found at http://econ.korea.ac.kr/~cjkim/. Again, while this code is not directly what you are seeking, it may serve as a good starting point for building your own program.