Dueker JBES 1997 MS-GARCH models

by TomDoan » Mon Sep 12, 2011 1:30 pm

These are replication files 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 using a reconstruction of the original data file. Dueker fits several different models with different types of switching. All of models allow the mean to switch, but two of these have "variances" switching, and two have the degrees of freedom in the conditional t density switching in different ways.

Switching GARCH (as opposed to ARCH) models require "collapsing" the history of the regimes in some fashion. Dueker waits one period longer for this than Gray(1996) does. This actually makes it easier to adapt the technique to different models than Gray's.

Switching ARCH/GARCH models is one of the topics in the Structural Breaks and Switching Models course materials.

dueker_swgarch.rpfGARCH model with switching mean (only)(4.66 KiB) Downloaded 363 times

dueker_swgarch_nf.rpfGARCH model with switching variance(5.53 KiB) Downloaded 374 times

dueker_swgarch_df.rpfGARCH model with switching degrees of freedom in t error process(5.26 KiB) Downloaded 279 times

dueker_swgarch_k.rpfGARCH model with switching degrees of freedom(5.29 KiB) Downloaded 278 times

dueker_swarch.rpfSWARCH model(4.65 KiB) Downloaded 317 times

sp500.xls(Reconstructed) data file(93 KiB) Downloaded 333 times