Request of MSGARCH help #5
Description
Hi,
We, Dr.Veysel Kula and Dr.Ender Baykut, are working on a paper utilizing two-regimes MSGARCH model. In fact, this is our first attempt to use the model. Unfortunately, there is none to help us. We finally have had the attached output. But we are not sure whether we are on the right track. We will be pleased if you provide your comments on the results.
summary(XBANK_msgarch)
[1] "Specification Type: Markov-Switching"
[1] "Specification Name: sGARCH_normal_sym sGARCH_normal_sym"
[1] "Number of parameters in each variance model: 3 3"
[1] "Number of parameters in each distribution: 0 0"
[1] "Default parameters:"
alpha0_1 alpha1_1 beta_1 alpha0_2 alpha1_2 beta_2 P P
[1,] 0.1 0.1 0.8 0.1 0.1 0.8 0.5 0.5
[1] "DEoptim initialization: FALSE"
[1] "Fitted Parameters:"
alpha0_1 alpha1_1 beta_1 alpha0_2 alpha1_2 beta_2
[1,] 0.006208474 0.02679562 0.9731044 0.6692769 0.1155627 0.8843373
P P
0.974796 0.6499313
[1] "Transition matrix:"
t = 1 t = 2
t + 1 = 1 0.97479621 0.6499313
t + 1 = 2 0.02520379 0.3500687
[1] "Stable probabilities:"
Stable probabilities
State 1 0.96266853
State 2 0.03733147
[1] "Unconditional volatility:"
State 1 State 2
7.879386 81.8089
Log-kernel: -46533.55
AIC: 93030.33
BIC: 93082.4>
1) There are two regimes; regime 1 with low volatility, regime 2 with high volatility.
2) As beta 1 is higher than beta 2, regime 1 is more persistent.
3) Are both regimes significant?