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MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes

Author

Listed:
  • Joanna Janczura
  • Rafal Weron

Programming Language

MATLAB

Abstract

MRS3IR_SIM(P,PARAM,MODEL,STARTVALUE,KSI_0,T,N) generates N trajectories of a Markov regime-switching (MRS) model with 3 independent regimes: (i) an AR(1) process in the base regime, X(t+1)=phi_1*X(t)+c_1+sigma_1*|X(t)|^g_1*N(0,1), (ii) a Gaussian (MODEL='G'), lognormal ('LN'), Pareto ('P'), Weibull ('W') or exponential ('E') distributed spike regime, (iii) and a shifted 'inverse lognormal' drop regime. P, PARAM and KSI_0 are the transition matrix, model parameters and probabilities classifying the first observation to one of the regimes, respectively, returned by MRS3IR_EST. STARTVALUE is the starting point for the simulated trajectories and T is the length of the trajectories.

Suggested Citation

  • Joanna Janczura & Rafal Weron, 2011. "MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes," HSC Software M11011, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    • Handle: RePEc:wuu:hscode:m11011
    as

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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/mrs3ir_sim.m
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