Markov Regime Switching Model

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Do you have any tools to create a Markov Regime Switching Model?

Regime-switching models are most commonly used to model time series data that fluctuates between recurring "states." Put another way, if we are working on data that seems to cycle between behavior periods, we may want to consider a regime-switching model.

 

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  • The Markov Regime Switching Model would be a helpful addition, providing further refinement for ARIMA, GARCH, etc.

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