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Regime Switching Model with Time Varying Transition Probabilities

Version 1.6.0.0 (60 KB) by Zhuanxin Ding
Code for estimating a Markov Regime Switching Model with time varying transition probabilities.
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Updated 27 Jun 2018

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Editor's Note: Popular File 2014

The MATLAB code presented here is 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.

Cite As

Zhuanxin Ding (2023). Regime Switching Model with Time Varying Transition Probabilities (https://www.mathworks.com/matlabcentral/fileexchange/37144-regime-switching-model-with-time-varying-transition-probabilities), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2018a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.6.0.0

Moved the beginning part of the code with nargin from function checkInputs_tvtp() to the beginning of the main function MS_Regress_Fit_tvtp.m. The old code returned error message when the newer (2017 or later) edition of Matlab is used.
1.5.0.0

1) Brett Sumsion of Dupont Capital Management kindly modified Marcelo's c++ filter to be used with the tvtp code here.
2) Added Tomlab optimizer as an alternative optimization tool.
1.2.0.0

Add explanation to the tvtp matrix notation.
Add Tomlab as an alternative for optimization.
1.0.0.0