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1、MarkovSwitchingxLRY(S)0.75220.18004.17892.929e-05xLRC-1.28010.1608-7.96081.776e-15xINT(S)-0.10050.0388-2.59020.009592xLRV0.04870.02012.42290.015397*Signif.codes:0*0.001*0.01*0.05.0.11Residualstandarderror:0.1515668MultipleR-squared:0.5145StandardizedResiduals:MinQ1MedQ3Max-0.48074613-0.024816900.001
2、136870.027511670.46264470Transitionprobabilities:Regime1Regime2Regime10.82556040.1692358Regime20.17443960.8307642summary(msLGS)MarkovSwitchingModelCall:msmFit(object=olsLGS,k=2,sw=rep(TRUE,6)AICBIClogLik-65.43317-1.64007242.71658Coefficients:Regime1EstimateStd.ErrortvaluePr(|t|)(Intercept)(S)-8.50990.8361-10.17813一ia20304D呛甘qp爲s0_l.DiagnosticsforMarkovSwitchingdiagnostictests：ACFofResiduals.Regi1PACFofResiduals.Reg:1ACFofSquareResid.Reg:1PACFofSquareResid.R咅g:1.r：o2NormalQ-QPlotRegime105101015Pia=D5101015gooACFofResiduals.Reg:1PACFofResiduals,Reg:1ACFolSquareResideReg:1PACFofSquareResid.Reg:1
