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We have developed a statistical technique to test the model assumption ofbinary regime switching extension of the geometric Brownian motion (GBM) modelby proposing a new discriminating statistics. Given a time series data, we haveidentified an admissible class of the regime switching candidate models for thestatistical inference. By performing several systematic experiments, we havesuccessfully shown that the sampling distribution of the test statisticsdiffers drastically, if the model assumption changes from GBM to Markovmodulated GBM, or to semi-Markov modulated GBM. Furthermore, we haveimplemented this statistics for testing the regime switching hypothesis withIndian sectoral indices.

Testing of Binary Regime Switching Models using Squeeze Duration Analysis