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Directory UMM :Data Elmu:jurnal:J-a:Journal of Econometrics:Vol96.Issue1.May2000:

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Fig. 1. Skewness and kurtosis of the two-state Markov switching model: e!ect of di!erent mean parameters
Table 1Regime switching model "tted to excess stock returns (monthly returns, 1970}1997)
Fig. 2. Skewness and kurtosis of the two-state Markov switching model: e!valuesect of di!erent mean and volatility parameters
Fig. 3. Kurtosis of the two-state Markov switching model: e!innovations. The probability of staying in state 1 (plots the coeect of di!erent volatility parameters.Based on the parameter values ��"(1,1), and letting the state variances go from 0.1 to 10, the "gure$cient of excess kurtosis of a two-state Markov switching model with GaussianP��) and the probability of staying in state 2 (P��)were set equal to 0.97 and 0.75, respectively.
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