Hi,

 

I have a time series data, which has obviously structure switching property.
Now I want to use a model to capture its characteristics and find all
influencing factors, then which model should I choose?

 

Also, what’s the difference when a stochastic model, a GARCH model and a
Markov-Switching model is used to describe the time series? And what’s the
most important when I choose from these models? Is there a transformation
mechanism between these model?

 

Thanks!

 

Hsiao-nan Cheung

 

2008/08/10

 


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