This paper offers a method of the estimation of the transition probability for the behaviors of financial time series by Markov Switching Autoregressive model. Using this model, the behaviors of fluctuations of exchange rate form two regimes low and high changes rate are considered. Results of prediction show that the persistence probability of regimes will be decreased. Thus, the probability of transition to other regime will be increased if process were in a specific regime.
Safaei M. Estimation of Transition Probability for Behaviors of Financial Time Series by Markov Switching Autoregressive Model. JSS 2011; 5 (1) :107-118 URL: http://jss.irstat.ir/article-1-53-en.html