Questions tagged [market-regimes]

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PortfolioAnalytics and regime switching issue

I've been playing around with the R package PortfolioAnalytics and I have spent more time than I'm willing to admit to try and resolve this issue: When I follow the regime switching example with the ...
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75 views

modelling known regime shifts

I wish to model a price time series with a known regime shift: electricity price before during and after the introduction of a carbon price. The time series looks like this: you can see the jump in ...
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69 views

Risk-Neutral Pricing with Regime Switching

As the title suggests, I am currently trying to implement a dual regime-switching options pricing model. In its simplest form, I am fitting a risk-neutral GARCH(1,1) to a crash and normal regime. ...
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51 views

Put-call parity under a regime-switching model

I need some help. I'm given $J$ different regimes, each one characterized by its own parameters $(r_i, \delta_i,\sigma_i,...)$ with $i\in \mathcal{J}= \{1,2,...,J\}$ ($r$ = risk-free interest rate, $...
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Stochastic process with determinstic frequency of regime changes

Suppose that I have an OU process. For instance, assume that I want to model the interest rates. Suppose that regime change is known ex ante, and is deterministic in terms of frequency (For instance, ...
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32 views

Given historical performance of a financial index, how to categorise different historical periods depending on the market regime at the time?

We are trying to work on a Machine Learning application to attempt to predict market regime changes (bull, bear, stale?). Generally a ML algorithm needs well defined training data for establishing its ...
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69 views

Trying to recreate results from a research paper on HMM and Kolmogorov-Smirnov Test for forecasting regime switching on SP500

I am trying to recreate this research: Regime-Switching Factor Investing with Hidden Markov Models, by Matthew Wang, Yi-Hong Lin and Ilya Mikhelson https://www.mdpi.com/1911-8074/13/12/311/htm My ...
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61 views

Is variance of residuals of Markov switching GARCH model regime specific?

I'm using MSGARCH package in R. By return_data/Volatility(fit.model), I get the residuals. When I calculate the standard deviation of the residuals, it turns out that it's close to 1 for all residuals....