My code
One element of publishing that I deem important is to present results that are reproducible. This makes sharing knowledge easier and can reduce bias in published materials. Therefore, I would like to share my code on this webpage and explain how my published results can be reproduced.
A mixed bond and equity fund model for the valuation of variable annuities
The R code to estimate the different components of our model is available in the following zip file:
RCODE_Mixed_Bond_Equity_Fund_Model.zip
Maximum likelihood estimation of the Markov-switching GARCH model
There are three files that you need to download to reproduce the results in that paper:
MS_garch_MLE_instructions.txt provides instructions to reproduce the results.
MS_garch_MLE_code.zip includes all the necessary code. The code is written to work with R 2.15.0, but it should be compatible with later versions of R as well.
MS_garch_MLE_output.zip provides the output that can be generated with my code.