Cheng Peng

2 Questions 4 Answers 0 Followers

Questions related from Cheng Peng

Is standard deviation 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...

15 August 2020 3,276 6 View

MSGARCH in R?

MSGARCH in R

15 August 2020 5,784 3 View