Dynamic model reveals shifting probabilities in U.S. Industrial Production growth.
A new model was developed to predict changes in probabilities over time for different scenarios. The model uses observed data to adjust the likelihood of transitions. By applying this model to U.S. Industrial Production growth, researchers found evidence of shifting probabilities for high and low volatility periods. In earlier years, high volatility regimes were more persistent, while in later years, low volatility regimes showed more persistence.