| Table 1 | ||||||
| Comparisons relative to constant variance model | ||||||
| Model description | MSE | Hghst vr | ||||
| factor | ||||||
| GARCH(1,1) | -1% | 1 | ||||
| SWARCH(2,2) | -11% | 23 | ||||
| SWARCH(3,2) | 1% | 236 | ||||
| SWARCH(4,2) | 4% | 823 | ||||
| SWARCH(5,1) | 10% | 725 | ||||
| Source: Appendix tables 2 and 3 | ||||||
| Table 2 | ||||||
| Average Standard Deviation and Probabilities of states in regimes | ||||||
| Av condit | Regime | Average smoothed probabilities of five states (%) | ||||
| sd (%pw) | label | very low | low | medium | high | very high |
| 0,08 | EMU | 86 | 14 | 0 | 0 | 0 |
| 0,28 | peseta | 0 | 14 | 54 | 30 | 2 |
| 0,30 | crawl | 0 | 7 | 49 | 43 | 1 |
| 0,40 | wide | 0 | 0 | 17 | 70 | 12 |
| 0,43 | Dmark | 0 | 0 | 5 | 71 | 24 |
| 0,47 | crises | 7 | 0 | 0 | 54 | 39 |
| Source: Appendix Table 3b panels A and B | ||||||