Documentation Index
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Statistics of any returns series by regime (return, volatility, ratio, spells and their compounded returns, empirical transitions) and transition-matrix analytics (stationary distribution, expected durations, half-lives, mixing, h-step forecast, simulated regime paths).
regime_analysis: 2 tools.
| Tool | What it does | Notes |
|---|---|---|
regime_statistics | Statistics of a returns series under a regime path: per regime the number of periods, share of time, mean, volatility, annualised mean and volatility and their ratio, extremes and spell counts and lengths; every spell with its dates and compounded return; the empirical transition counts and probabilities; and the current spell. | |
regime_markov_chain | Analytics of a regime transition matrix on its own (e.g. data.model.transmat of a fit, or an assumed one): stationary distribution, persistence, expected duration and half-life of each regime, the eigenvalues and the half-life of convergence to the long run, the h-step regime forecast from the current probabilities (series + chart) and optionally a simulated regime path with its spells. |
fincept_describe_tool.