Regime-Switching GARCH (Juri Marcucci's Paper)

[Efe Cagli]

To replicate results in Juri Marcucci's paper (Forecasting Stock Market Volatility with Regime-Switching GARCH Models), I run matlab codes but an error appears;

-------------- "garchestfor_con_all.m"

??? Index exceeds matrix dimensions.

Error in ==> garchestfor_con_all at 161
values1(:,(find(A(4,:)*values1>1)))=[];
--------------------------------------------------------------------------------
->another error also occurs when I run the code file "mrsgarchestfor_con_all.m"

??? Subscripted assignment dimension mismatch.

Error in ==> mrsgarchestfor_con_all at 302
Parameters(:,index+1,2) = GRAD(:);
--------------------------------------------------------------------------------
Could you help me to run this code properly? Why do I get this error messages?
Code file can be obtained in the following address:
http://works.bepress.com/juri_marcucci/1/

[Eduardo Horta]

Any success yet?

I've had the same problem. I'm sending an e-mail directly to the author, though. If I get any answers I'll let you know.

"Efe Cagli" <ecc...@gmail.com> wrote in message <h6rq02$h9v$1...@fred.mathworks.com>...

[Eduardo Horta]

The author pointed out that there are a few typos in the code uploaded to http://works.bepress.com/juri_marcucci/1/

The suggested corrections can be found at http://sites.google.com/site/jurimarcucci/publications/hints-for-mrsgarch-program

Cheers

"Eduardo Horta" <edu....@hotmail.com> wrote in message <i5pbd8$48a$1...@fred.mathworks.com>...