The SV(p) Model | Simulation and Estimation | Gaussian SV(1) | Gaussian SV(2) | Student-t Innovations | GED Innovations | Leverage Effects | Hypothesis Testing | AR Order Testing | Leverage Testing | Distribution Testing | AR Order Selection via Information Criteria | Filtering | Forecasting | References

Overview | Simulating a Markov switching process | Estimating a model | Testing the number of regimes | Local Monte Carlo likelihood ratio test | Maximized Monte Carlo likelihood ratio test | Faster alternatives for the one-versus-two regime case | References