Estimate a Hamilton Markov-switching model for returns or volatility. Two states (bull/bear or low/high vol) with state-dependent mean, variance, and transition probabilities estimated by EM algorithm.
Enter the values for the scenario you are assessing. Estimate a Hamilton Markov-switching model for returns or volatility. Two states (bull/bear or low/high vol) with state-dependent mean, variance, and transition probabilities estimated by EM algorithm. Use the markov regime switching result to inform your calculation.