Markov-Switching ARCH Model of TED Change in TED spread (basis points, left scale). Probability of being in high-volatility state (right scale). For each h, we use a GARCH(1,1) model to estimate the instantaneous data, since even misspecified ARCH models can produce 'good' estimates of volatility. . Sharpe, W. SharpeCapital asset prices: A theory of market. time series. I develop a Markov-ARCH model that incorporates the features of both Hamilton's .. The probability of staying in the low-variance state (p) is
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ARCH MODEL 99 EBOOK
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