An Implementation of Markov Regime Switching Model with Time Varying Transition Probabilities in Matlab

5 Pages Posted: 12 Jun 2012 Last revised: 29 Jun 2012

See all articles by Zhuanxin Ding

Zhuanxin Ding

AlphaFocus Investment Research LLC

Date Written: June 12, 2012

Abstract

This memo explains how to use the MATLAB code for estimating a Markov Regime Switching Model with time varying transition probabilities. The code is developed by Zhuanxin Ding based on the original code by Marcelo Perlin for estimating a Markov Regime Switching Model with constant transition probability matrix.

Keywords: Regime Switching Model, Time Varying Transition Probabilities

JEL Classification: C5

Suggested Citation

Ding, Zhuanxin, An Implementation of Markov Regime Switching Model with Time Varying Transition Probabilities in Matlab (June 12, 2012). Available at SSRN: https://ssrn.com/abstract=2083332 or http://dx.doi.org/10.2139/ssrn.2083332

Zhuanxin Ding (Contact Author)

AlphaFocus Investment Research LLC ( email )

P. O. Box 989
Del Mar, CA 92014
United States
1-858-461-1076 (Phone)

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