program Markov switching GJR-GARCH

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

1 Answer


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 Again, while this code is not directly what you are seeking, it may serve as a good starting point for building your own program.



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