03 · MARKET STATE
Regime & volatility
current regime · SPY
BULL CORRECTION 63%
BULL CORRECTION 63%
SPY DAILY LOG RETURNS · POSTERIOR STATE PROBABILITIES · 250 SESSIONS
gibbs · 1,000 iter · burn-in 200 · seed 42 · 800 retained (±0.0013) · geweke z -0.42 · data through 2026-10-26 · fit 2026-10-26 · run 184
■ bear market 1%■ bear rally 0%■ bull correction 63%■ bull market 37%2025-10-28 — 2026-10-26
the model is daily. The source notebook seeded it with a paper’s weekly estimates and labelled the panel “weekly returns” over daily data; initial values are now derived from the daily series and every label reads at the scale the model actually runs at.
REALIZED VOL · YANG–ZHANG
no volatility series stored for this estimator and window
annualized, 22-day window · percentile is within each ticker’s own trailing year · a ticker whose latest row predates the newest stored date is labelled stale rather than refreshed
STATE PROBABILITIES · LAST 12 SESSIONS
DATE
BEAR
RALLY
CORR
BULL
MAP STATE
2026-10-26
0.01
0.00
0.63
0.37
CORR
2026-10-23
0.00
0.00
0.69
0.31
CORR
2026-10-22
0.00
0.00
0.74
0.26
CORR
2026-10-21
0.00
0.00
0.67
0.33
CORR
2026-10-20
0.00
0.00
0.63
0.37
CORR
2026-10-19
0.00
0.00
0.61
0.39
CORR
2026-10-16
0.00
0.00
0.67
0.33
CORR
2026-10-15
0.00
0.00
0.59
0.41
CORR
2026-10-14
0.00
0.00
0.57
0.43
CORR
2026-10-13
0.00
0.00
0.33
0.68
BULL
2026-10-12
0.00
0.00
0.21
0.79
BULL
2026-10-09
0.00
0.00
0.15
0.85
BULL
MAP state is the argmax of the posterior; a session that was not fit shows absent across the row