Multivariate-Markov-Switching-Regressions

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Multivariate-Markov-Switching-Regressions

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Multivariate Markov-Switching Models Regressions Framework

Multivariate-Markov-Switching-Regressions 최신버젼 다운로드

최종 버전 다운로드 (.zip)

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###  Multivariate Markov-Switching Models Regressions Framework
This Directory contains Multivariate Markov-Switching Models Regressions Framework Written in Python

Reference From "
      Bellone B. Classical Estimationof Multivariate Markov-Switching Models using MSVARlib[J]. Econometrics, 2005.
      "

You can use This Package to build a Statistical arbitrage Strategy using MS-VECM (Markov-Switching Vector Error correction Models.)

or Do some empirical Study of Asymmetric effects using MS-VAR( Markov-Switching Vector AutoRegression)
<hr/>

Some Results Display Here:

Time variant impact of M2 on Stocks Market:

<img src="https://github.com/yudai-il/Multivariate-Markov-Switching-Regressions/blob/master/results/4.png"/>

impluse response :

<img src="https://github.com/yudai-il/Multivariate-Markov-Switching-Regressions/blob/master/results/2.png"/>

<hr/>

Time variant impact of M2 on substantial economy:

<img src="https://github.com/yudai-il/Multivariate-Markov-Switching-Regressions/blob/master/results/1.png"/>

impluse response :

<img src="https://github.com/yudai-il/Multivariate-Markov-Switching-Regressions/blob/master/results/3.png"/>
<hr/>

For Detail Usage can Go To 
<a href=>This Page</a>

An empirical Study based on China's macroeconomic and Financial Data.

On the topic of 「Asymmetric effects of M2 on Stocks Market and substantial economy」.(Project during 2018)

""" Notice：
            This Python Package are Based On the Gauss Language witten by Benoit BELLONE (2004)

[The GAUSS programs available on the website http://bellone.ensae.net6 are written
            and copyrighted c 2004 by Benoit BELLONE, all rights reserved. They can be run on
            Gauss 3.2 or upper versions and should be OX-Gauss compliant, thanks to the routine
            M@ximize developped by Laurent and Urbain (2005)7. The code is licensed gratis to all
            third parties under the terms of this paragraph. Copying and distribution of the files
            in this archive is unrestricted if and only if the files are not modified. Modification of
            the files is encouraged, but the distribution of modifications of the code in this archive
            is unrestricted only if you meet the following conditions: modified files must carry a
            prominent notice stating
            (i) the original author and date,
            (ii) the new author and the date of release of the modification,
            (iii) that there is no warrantee for the code, and
            (iv) that the work is licensed at no charge to all parties.
            If you use the code extensively in your research, you are requested to provide appropriate
            attribution and thanks to the author of the code. No representation is made or implied
            as to the accuracy or completeness of the programs which may indeed contain bugs or
            errors unknown to the author. Benoit Bellone takes no responsibility for results produced
            by MSVARlib programs which are used entirely at the reader’s risk. This package is by
            no means finished yet, a enhancement “to do list” remains open. If you plan to extend
            the library, find any problems or have suggestions for improvement, contact the author.]"""

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