Figures & data
Table 1. Basic statistics
Table 2. Statistical tests
Figure 1. Empirical densities.
Figure 2. Q-Q plots.
Figure 3. Adjusted stock index prices.
Figure 4. Index returns.
Table 3. MLE parameter estimates
Figure 5. Smoothed probability for Russell 2000 index.
Figure 6. Smoothed probability for Facebook index.
Figure 7. Options.
Table 4. Call option prices for Russell 2000 and Facebook indices
Table 5. RMSE for the black-Scholes and regime-switching models
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