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Theory and inference for a Markov switching Garch model.

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Figure

Figure 1: Stationarity region for two-state MS-GARCH with transition probabilities η 11 = η 22 = 0.85 and d i = α i + β i
Table 1: Descriptive statistics for 50000 simulated data
Figure 2: Graphs for simulated data for DGP defined in Table 2
Table 2: Posterior means and standard deviations (simulated DGP) DGP values Prior bounds Means St
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