<t>Is there a Matlab/EViews/GAUSS code available for estimating parameters for the regime-switching process? I've read the Hamilton (1989) and lot of related studies and have a general idea of the regime-swithing framework. I think my problem is using the filter that is needed to estimate transition...

<t>What do you exactly mean by volatility forecast based on derivative prices? I suppose implied volatiliy from option prices. How can I forecast 1-day-ahead volatility using implied volatilities from market prices? Implied volatlity reflects market's expectation for the remaining life of the option...

<t>Thanks Aaron,My intention is to forecast volatility in effect (not implied) tomorrow in electricity markets. For that I have a long time series data of returns. I'm doing a thesis that compares different voaltility forecasting models. I compare different GARCH and regime-swithcing models and thei...

Thanks JamesH83 for your reply. I think that helps me enough.

How can I forecast future volatility (short-term, e.g. one-day-ahead) with stochastic volatility models like Heston, Hull-White, Cox-Ingersoll-Ross or Ornstein-Uhlenbeck? I suppose I first have to calibrate the models using for example option data but what then?

So is testing the unit root same as testing mean reversion? If I do Dickey-Fuller test and reject the unit root (does this mean that the time series is stationary?) I can say that my time series is somehow mean-reverting?

I have a time series of returns. I'm interested to test wheter the returns exhibit mean reversion. What is the best test to test mean reversion effect?

Hi,Does anybody have an idea how to calculate the transition probabilities for a two-state regime switching process? Is it possible to do it in Excel?Thanks,Markus