Summary
International Symposium on Nonlinear Theory and its Applications
2005
Session Number:4-1-5
Session:
Number:4-1-5-5
Estimation of GARCH-Type Models with Markov Switching using Genetic Programming and its Applications
Yoshikazu Ikeda, Shozo Tokinaga,
pp.126-129
Publication Date:2005/10/18
Online ISSN:2188-5079
Summary:
In this paper, we propose the method for the estimation of GARCH-type models with Markov switching using Genetic Programming (GP). In the method, we use Genetic Programming to estimate system equations, where the Likelihood is used to evaluate GP individuals. The method is applied to the estimation of GARCH models for known systems including Markov switching, and then applied to real world data.