How would one find out which periods from 1980-2017 were a bull or bear market by using a markov switching model orby using a non parametric model?

05 May 2020 0 5K Report

I am trying to write a thesis on how volatility in the FTSE 100 differs in bull vs bear market in the UK.

I am wanting to first use the markov switching model to determine which periods from 1980-2017 were bull or bear markets but I am not sure how to actually do this in software.

After I have figured out which years are bull or bear I will model volatility using the GARCH model in periods of bull and periods of bear identified by the markov switching model. But I am stuck on how to identify which is bull or bear based on FTSE 100 from 1980-2017. Could you be able to help me?

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