求MS-GARCH模型的修改，500币。

最近网络上公布了MS-GARCH程序包，但该编程是针对方差方程的，默认均值方程中的因变量为均值为0的方程。
但如果均值方程的均值不为0，那么要对均值方程和方差方程同时进行估计，该如何估计呢？谢谢！

单变量还是多变量？

单变量。网络上有MS-EGARCH的程序包，也有代码，但不会修改。

比如上证的日收益率。

Usage：
CreateSpec(variance.spec = list(model = c("sGARCH", "sGARCH")), distribution.spec = list(distribution = c("norm", "norm")), switch.spec = list(do.mix = FALSE, K = NULL), constraint.spec = list(fixed = list(), regime.const = NULL), prior = list(mean = list(), sd = list()))

# setting custom parameter priors for the beta parameters # MS-GARCH(1,1)-GJR(1,1)-Student with prior modification spec <- CreateSpec(variance.spec = list(model = c("sGARCH","gjrGARCH")), distribution.spec = list(distribution = c("std","std")), switch.spec = list(do.mix = FALSE), prior = list(mean = list(beta_1 = 0.9, beta_2 = 0.3), sd = list(beta_1 = 0.05, beta_2 = 0.01)))

这个程序只估计了方差，没有和均值一起估计。

作者说仅有估计”方差“，无提供“均值”的估计，可能需搭配其他package。

##########文件说明##########

The R package MSGARCH
Description

The R package MSGARCH implements a comprehensive set of functionalities for Markov-switching GARCH (Haas et al. 2004a) and Mixture of GARCH (Haas et al. 2004b) models, This includes fitting, filtering, forecasting, and simulating. Other functions related to Value-at-Risk and Expected-Shortfall are also available.
The main functions of the package are coded in C++ using Rcpp (Eddelbuettel and Francois, 2011) and RcppArmadillo (Eddelbuettel and Sanderson, 2014).
MSGARCH focuses on the conditional variance (and higher moments) process. Hence, there is no equation for the mean. Therefore, you must pre-filter via AR(1) before applying the model.
The MSGARCH package implements a variety of GARCH specifications together with several conditional distributions. This allows for a rich modeling environment for Markov-switching GARCH models. Each single-regime process is a one-lag process (e.g., GARCH(1,1)). When optimization is performed, we ensure that the variance in each regime is covariance-stationary and strictly positive (refer to the vignette for more information).
We refer to Ardia et al. (2017) https://ssrn.com/abstract=2845809 for a detailed introduction to the package and its usage.
The authors acknowledge Google for financial support via the Google Summer of Code 2016 & 2017, the International Institute of Forecasters and Industrielle-Alliance.
##########文件说明##########

看来R软件还是不能做。

taokecn 发表于 2018-11-14 17:03
最近网络上公布了MS-GARCH程序包，但该编程是针对方差方程的，默认均值方程中的因变量为均值为0的方程。
但 ...

楼主这个问题解决了吗？我最近也在做这个模型。遇到了相似问题

没有解决