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Markov-Switching GARCH (MS-GARCH)
Source: Reher (2011) “Markov-switching GARCH models in finance”
MS-GARCH models allow volatility dynamics (GARCH parameters) to vary across different hidden market regimes.
Structs§
- Garch
Params - Parameters for a single GARCH(1,1) regime.
- MSGarch
- A Markov-Switching GARCH model.