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RATS programs to replicate Dueker(1997) Markov switching GARCH models

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Replication file for Dueker(1997), "Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility," J of Business & Economic Statistics, vol. 15, no 1, 26-34. This estimates a variety of Markov Switching GARCH models.

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate Dueker(1997) Markov switching GARCH models," Statistical Software Components RTZ00048, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtz00048
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

    Download full text from publisher

    File URL: https://www.estima.com/procs_perl/dueker_jbes1997.zip
    Download Restriction: no
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