Questions tagged [markov-switching]
The markov-switching tag has no summary.
19 questions
0 votes
0 answers
42 views
How to prove regime switching is not happening in parameters from data
Generally in economics/finance autoregressive models features regime switching in both parameters and volatility. In my case my data is giving a rough indication that regime switching in parameter is ...
1 vote
0 answers
72 views
What are the recurring states in this Markov Regime Switching Heston Model?
I'm a 3rd year Maths undergrad reading into topics I could do my Master's dissertation on (Mathematical Finance). I've already covered Markov chains and I found out about Hidden Markov Models applied ...
- 11
2 votes
1 answer
200 views
Continuous-time two-state Markov process
$\lambda_t$ is binary with $\lambda_H$ and $\lambda_L$, with instantaneous transition probailities of $\mu_H$ and $\mu_L$. What is $\mathbb{E}_t[\lambda_T]$, assuming $\lambda_t=\lambda_H$ or $\...
- 53
1 vote
0 answers
144 views
Interpreting parameters on Matlab from Patton's code on time varying copulas
I ran Andrew Patton's code (2006) for Markov switching time varying copulas with an example code given in the Matlab tool box. This is the equation for Markov switching time varying normal copulas I ...
- 23
0 votes
0 answers
95 views
Reference request: Approximate mapping of a multi-factor stochastic volatility model to single-factor stochastic volatility model
I am looking for approaches to transform a more complicated stochastic volatility model such as the one shown in Section 2.2 of Smile Dynamics II to a single-factor model such as the one shown in ...
- 787
1 vote
0 answers
712 views
Markov Switching Vector Autoregressive (MSVAR) and Markov Switching Dynamic Stochastic General Equilibrium (MSDSGE) Models
I want to reproduce the results of Bianchi et al (2017) Escaping the Great Recession using R and/or Python. Authors in the ...
- 61
0 votes
0 answers
194 views
Is variance of residuals of Markov switching GARCH model regime specific?
I'm using MSGARCH package in R. By return_data/Volatility(fit.model), I get the residuals. When I calculate the standard deviation of the residuals, it turns out that it's close to 1 for all residuals....
- 1
3 votes
0 answers
95 views
Joint Distribution of Correlated Variables with Markov Switching
I am modeling a portfolio of correlated assets whose lack of liquidity can be reasonably described by a Markov-switching model. That is, not only is movement size among assets correlated, but so is ...
- 555
2 votes
2 answers
3k views
Multivariate Markov Regime switching GARCH
I have a regression with 4 independent variables and a dependent variable. I want to implement a Regime switching GARCH model but have been unable to find a package in R,Python or Matlab. MSGARCH ...
- 21
3 votes
0 answers
1k views
Hidden Markov Models for Higher frequency trading
I'm curious if anyone can validate my train of thought here with the utility of Hidden Markov models for modeling things happening on higher frequency trading activity versus lower frequency, and in ...
- 1,182
0 votes
1 answer
173 views
Which method would you use to compare if a time series of financial returns has more "clusterized volatility" than another?
It is known that the historical series of financial returns are characterized by the so-called volatility clustering. Suppose we approximate the number of two-type clusters, namely the high and low ...
- 133
5 votes
0 answers
182 views
difference between Meucci fully flexible probability and markov regime swtiching models?
What is the difference between A. Meucci's Fully Flexible Probability (FFP) and Markov Regime Switching Models ? They seem very similar to me, FFP based on state variables that define regimes will ...
- 69
0 votes
1 answer
309 views
Markov switching regime for stock returns
I want to see if day of the week (or month) has some effect on stock returns. I want to use Markov switching model to identify different regimes in time series. If $Y_1,Y_2,...Y_t$ are stock returns,...
- 145
1 vote
0 answers
258 views
Is there a way I could find a matlab or R code to estimate a regime switching stochastic volatility model (discrete)?
Sorry to bother you with this request but, does anyone know where I could find a matlab or R code to estimate a regime switching stochastic volatility model (discrete)? Thank you very much.
4 votes
2 answers
1k views
Error when trying to estimate a Markov-switching Var model in R
I'm trying to estimate a Markov-switching VAR in R using the command msvar. These are the first 10 entries of my two time series. I have 798. When I try to run this I get an Error message ...