10 October 2017 2 4K Report

Hello,

I want to use a Markov Switching model on S&P 500 rates, my question is how should I estimate the transition matrix? Should I use a naive guess (e.g. 0.5) of each state probabilities and update them by Bayes rule? and I have another question, how should one estimate generator of a univariate GBM?

Thanks in advance.

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