MARKET REGIMES / MARKOV-SWITCHING · SEPTEMBER 2026

Bitcoin Volatility: A Markov Regime Analysis

Recent daily returns fit the low-volatility state more closely. A two-state model tracks shifts between calmer and more turbulent conditions. A three-state comparison shows that some probability still sits in the middle-volatility state.

Low-volatility probability · Sep 13 close

90.9%

Binance BTC/USDT · UTC daily candles · Data through Sep 13, 2026. State probabilities estimate current volatility conditions; they do not measure the chance of a future price rise.

01 / The year in market regimes

Each dot marks a daily close, colored by the most likely state given that day’s return. Prices and volatility regimes share the same timeline.

2026 closing prices and two-state classifications data

2026 closing prices and two-state classifications — data
Date (UTC)	Open	High	Low	Close	Volume	Daily log return	Low-volatility probability	High-volatility probability	State	Estimation period
2026-01-01	87648.21	88919.45	87550.43	88839.04	6279.57133	1.34948899	88.13184004	11.86815996	Low volatility	Training (retrospective)
2026-01-02	88839.05	90961.81	88379.88	89995.13	17396.97301	1.29293647	88.13192928	11.86807072	Low volatility	Training (retrospective)
2026-01-03	89995.14	90741.16	89314.01	90628.01	7057.46716	0.70077687	90.16995219	9.83004781	Low volatility	Training (retrospective)
2026-01-04	90628.01	91810	90628	91529.73	10426.5297	0.99005111	89.86767699	10.13232301	Low volatility	Training (retrospective)
2026-01-05	91529.74	94789.08	91514.81	93859.71	20673.59584	2.51373831	76.83609182	23.16390818	Low volatility	Training (retrospective)
2026-01-06	93859.71	94444.44	91262.94	93747.97	18546.41829	-0.11912094	88.30380391	11.69619609	Low volatility	Training (retrospective)
2026-01-07	93747.97	93747.97	90675.52	91364.16	14276.49025	-2.57567323	73.30450348	26.69549652	Low volatility	Training (retrospective)
2026-01-08	91364.16	91687.99	89311	91099.99	16132.79117	-0.28955845	87.3007055	12.6992945	Low volatility	Training (retrospective)
2026-01-09	91100	92082.55	89694.66	90641.28	15590.27939	-0.50479561	90.1880339	9.8119661	Low volatility	Training (retrospective)
2026-01-10	90641.27	90832	90404	90504.7	3104.11722	-0.15079554	91.23652609	8.76347391	Low volatility	Training (retrospective)
2026-01-11	90504.7	91283.89	90236	91013.65	5477.13594	0.56077122	91.12122089	8.87877911	Low volatility	Training (retrospective)
2026-01-12	91013.66	92519.95	90128.44	91296.2	16188.08268	0.30996704	91.38861166	8.61138834	Low volatility	Training (retrospective)
2026-01-13	91296.2	96495	91042.66	95414	23021.51482	4.41161525	23.24445452	76.75554548	High volatility	Training (retrospective)
2026-01-14	95413.99	97924.49	94559.28	96951.78	22851.89428	1.59884233	63.49801275	36.50198725	Low volatility	Training (retrospective)
2026-01-15	96951.78	97193.34	95134.48	95604.8	21725.81369	-1.39907135	79.46488502	20.53511498	Low volatility	Training (retrospective)
2026-01-16	95604.81	95871.47	94293.46	95550.94	11167.7146	-0.05635196	88.93702409	11.06297591	Low volatility	Training (retrospective)
2026-01-17	95550.94	95639.45	95021.67	95147.77	4280.80137	-0.42283516	90.68703715	9.31296285	Low volatility	Training (retrospective)
2026-01-18	95147.77	95531.12	93615.4	93673.14	6895.17819	-1.56196682	86.73455436	13.26544564	Low volatility	Training (retrospective)
2026-01-19	93673.14	93673.14	91910.2	92631	14295.52747	-1.11876298	88.14373672	11.85626328	Low volatility	Training (retrospective)
2026-01-20	92630.99	92870	87895.98	88427.66	22007.3261	-4.64390422	13.78490207	86.21509793	High volatility	Training (retrospective)
2026-01-21	88427.66	90574	87263.53	89454.73	20617.50372	1.15478706	64.74068025	35.25931975	Low volatility	Training (retrospective)
2026-01-22	89454.73	90359.99	88515.37	89559.67	10825.50492	0.11724198	85.44000986	14.55999014	Low volatility	Training (retrospective)
2026-01-23	89559.68	91224.99	88578.36	89600.26	13918.48919	0.04531147	90.28023321	9.71976679	Low volatility	Training (retrospective)
2026-01-24	89600.26	89957.39	89162.08	89225.34	4226.56737	-0.41931418	90.98551599	9.01448401	Low volatility	Training (retrospective)
2026-01-25	89225.34	89319.13	86074.72	86670.36	14426.22019	-2.90531231	67.6031577	32.3968423	Low volatility	Training (retrospective)
2026-01-26	86670.36	88860	86509.63	88347.08	17766.51453	1.9161191	76.36291883	23.63708117	Low volatility	Training (retrospective)
2026-01-27	88347.08	89523.16	87304.33	89250	13125.40425	1.01682728	86.28780915	13.71219085	Low volatility	Training (retrospective)
2026-01-28	89249.99	90600	88833.65	89299.99	14332.18502	0.05599552	90.46362076	9.53637924	Low volatility	Training (retrospective)
2026-01-29	89300	89348	83383.33	84650.16	30431.38201	-5.34743772	4.29194296	95.70805704	High volatility	Training (retrospective)
2026-01-30	84650.16	84735.75	81118	84260.49	35195.84793	-0.46139268	64.98925177	35.01074823	Low volatility	Training (retrospective)
2026-01-31	84260.5	84270.02	75719.9	78741.09	39491.89133	-6.77479434	0.09484541	99.90515459	High volatility	Training (retrospective)
2026-02-01	78741.1	79424	75700	76968.21	25395.48168	-2.2772649	39.55460826	60.44539174	High volatility	Training (retrospective)
2026-02-02	76968.22	79360	74604	78738.61	42273.59016	2.27411529	59.00344474	40.99655526	Low volatility	Training (retrospective)
2026-02-03	78738.6	79186.81	72945.5	75770.21	39120.10889	-3.84284248	23.4527553	76.5472447	High volatility	Training (retrospective)
2026-02-04	75770.21	76971.52	71888	73165.83	38375.36	-3.49766988	20.61039777	79.38960223	High volatility	Training (retrospective)
2026-02-05	73165.84	73341.18	62345	62909.86	106298.82899	-15.10256005	0	100	High volatility	Training (retrospective)
2026-02-06	62909.87	71751.33	60000	70580.26	92539.21531	11.50475938	0	100	High volatility	Training (retrospective)
2026-02-07	70580.26	71690.07	67300	69289.38	44255.48036	-1.84588543	47.89197861	52.10802139	High volatility	Training (retrospective)
2026-02-08	69289.37	72271.41	68888	70330.38	21420.53168	1.49122057	74.18023841	25.81976159	Low volatility	Training (retrospective)
2026-02-09	70330.38	71453.53	68308	70138	29152.72842	-0.27391235	87.53102173	12.46897827	Low volatility	Training (retrospective)
2026-02-10	70138	70527.59	67800	68841.29	20373.77072	-1.86610196	83.12389427	16.87610573	Low volatility	Training (retrospective)
2026-02-11	68841.28	69292.88	65756	67082.52	28718.24602	-2.58802069	70.45882718	29.54117282	Low volatility	Training (retrospective)
2026-02-12	67082.52	68410.52	65118	66272.17	24271.74283	-1.21534529	83.05218409	16.94781591	Low volatility	Training (retrospective)
2026-02-13	66272.17	69482.97	65872.46	68853.96	20244.54955	3.82176895	37.63982525	62.36017475	High volatility	Training (retrospective)
2026-02-14	68853.97	70560.01	68730.13	69822.95	18114.78393	1.39750124	71.47673191	28.52326809	Low volatility	Training (retrospective)
2026-02-15	69822.94	70983	68000	68832.58	22290.05208	-1.42855729	81.77721279	18.22278721	Low volatility	Training (retrospective)
2026-02-16	68832.59	70126.67	67294.11	68892.43	15515.76534	0.08691232	89.47232489	10.52767511	Low volatility	Training (retrospective)
2026-02-17	68892.43	69241.5	66621.06	67503.52	16489.06921	-2.03665579	82.00379816	17.99620184	Low volatility	Training (retrospective)
2026-02-18	67503.52	68476.22	65870	66461	15492.43839	-1.55644352	84.06633007	15.93366993	Low volatility	Training (retrospective)
2026-02-19	66461	67320	65631.83	67003.73	14542.26988	0.813298	88.94099286	11.05900714	Low volatility	Training (retrospective)
2026-02-20	67003.73	68318.39	66280.2	68020.01	35351.87091	1.50536371	87.19158495	12.80841505	Low volatility	Training (retrospective)
2026-02-21	68020	68698.7	67534.69	67975.93	8032.84131	-0.06482547	90.63850529	9.36149471	Low volatility	Training (retrospective)
2026-02-22	67975.93	68245	67190	67643.4	8175.13484	-0.4903883	90.95381025	9.04618975	Low volatility	Training (retrospective)
2026-02-23	67643.39	67684.86	63888.79	64656.02	33075.90923	-4.51685712	17.66971323	82.33028677	High volatility	Training (retrospective)
2026-02-24	64656.01	65026.75	62510.28	64058.15	23102.83622	-0.92899531	67.45011802	32.54988198	Low volatility	Training (retrospective)
2026-02-25	64058.15	69988.83	63913.27	67988.04	30749.99259	5.95405428	0.87872889	99.12127111	High volatility	Training (retrospective)
2026-02-26	67988.04	68860	66500	67485.18	20737.77792	-0.74237891	61.94948897	38.05051103	Low volatility	Training (retrospective)
2026-02-27	67485.19	68216.8	64914.46	65872.1	21228.58424	-2.41930351	63.95051937	36.04948063	Low volatility	Training (retrospective)
2026-02-28	65872.09	67760	63030	66973.26	22548.71649	1.65784521	78.02685824	21.97314176	Low volatility	Training (retrospective)
2026-03-01	66973.26	68199.99	65056	65776.47	23201.85859	-1.80312597	80.39507723	19.60492277	Low volatility	Training (retrospective)
2026-03-02	65776.48	70096	65259.21	68830.06	32010.38431	4.53783925	15.72500542	84.27499458	High volatility	Training (retrospective)
2026-03-03	68830.06	69258.08	66158	68338	24972.2418	-0.71745873	68.20391902	31.79608098	Low volatility	Training (retrospective)
2026-03-04	68338.01	74050	67400	72666.77	44919.0761	6.14182153	0.58633634	99.41366366	High volatility	Training (retrospective)
2026-03-05	72666.77	73558.15	70645.47	70890.72	26590.51253	-2.47446597	35.56476237	64.43523763	High volatility	Training (retrospective)
2026-03-06	70891.02	71419.98	67744.78	68114.02	22629.88722	-3.99564707	13.66678631	86.33321369	High volatility	Training (retrospective)
2026-03-07	68114.02	68551.04	66915.26	67262.91	12719.54315	-1.25740954	62.64152897	37.35847103	Low volatility	Training (retrospective)
2026-03-08	67262.91	68200	65618.49	65971.2	21593.63901	-1.93906872	72.87449037	27.12550963	Low volatility	Training (retrospective)
2026-03-09	65971.2	69516.65	65821.97	68432.16	28896.7213	3.66246064	37.41014266	62.58985734	High volatility	Training (retrospective)
2026-03-10	68432.16	71777	68391.41	69948.63	32602.57726	2.19182259	59.70576054	40.29423946	Low volatility	Training (retrospective)
2026-03-11	69948.64	71321	68977.91	70191.86	27249.27542	0.34712344	83.93905383	16.06094617	Low volatility	Training (retrospective)
2026-03-12	70191.86	70800	69205.91	70541.34	21997.1605	0.4966571	89.60384694	10.39615306	Low volatility	Training (retrospective)
2026-03-13	70541.34	73913.74	70386.01	70930	35996.61678	0.54945543	90.78212274	9.21787726	Low volatility	Training (retrospective)
2026-03-14	70930.01	71307.92	70317	71211.95	13017.24737	0.39671662	91.23733028	8.76266972	Low volatility	Training (retrospective)
2026-03-15	71211.95	73199	70858.82	72815.24	14037.30704	2.22646325	81.54986845	18.45013155	Low volatility	Training (retrospective)
2026-03-16	72815.25	74909.08	72270.41	74884.67	28409.53019	2.80239227	67.02246771	32.97753229	Low volatility	Training (retrospective)
2026-03-17	74884.67	76000	73399.19	73909.36	24521.26636	-1.31097191	81.31909684	18.68090316	Low volatility	Training (retrospective)
2026-03-18	73909.37	74672.34	70500	71246.54	23392.88093	-3.6693221	38.63388239	61.36611761	High volatility	Training (retrospective)
2026-03-19	71246.55	71613.79	68793.35	69930	22364.81819	-1.86515149	64.40374866	35.59625134	Low volatility	Training (retrospective)
2026-03-20	69930.01	71367	69388	70510.73	18121.16745	0.82701551	83.88040465	16.11959535	Low volatility	Training (retrospective)
2026-03-21	70510.73	71100.94	68571.42	68918.12	13397.1675	-2.28457635	76.32127784	23.67872216	Low volatility	Training (retrospective)
2026-03-22	68918.12	69588.79	67360.66	67859	14843.78682	-1.54871103	82.30884519	17.69115481	Low volatility	Training (retrospective)
2026-03-23	67859	71817.09	67445.18	70906.45	28335.09119	4.39293796	19.88596301	80.11403699	High volatility	Training (retrospective)
2026-03-24	70906.45	71400	68923.07	70556.74	20702.42244	-0.49441938	70.922334	29.077666	Low volatility	Training (retrospective)
2026-03-25	70556.74	72026.09	70408	71336.53	17719.50066	1.09913296	84.42393763	15.57606237	Low volatility	Training (retrospective)
2026-03-26	71336.53	71436.82	68153	68820.31	20820.45768	-3.59096336	43.04041676	56.95958324	High volatility	Training (retrospective)
2026-03-27	68820.31	69179.05	65548.25	66407.28	28603.69557	-3.56922158	25.05070513	74.94929487	High volatility	Training (retrospective)
2026-03-28	66407.28	67288.94	65932.09	66377.03	11462.39847	-0.04556261	73.81304446	26.18695554	Low volatility	Training (retrospective)
2026-03-29	66377.04	67130.5	65000	66010.93	10052.85584	-0.55307285	86.90444218	13.09555782	Low volatility	Training (retrospective)
2026-03-30	66010.93	68169.65	65800.59	66797.37	18353.38975	1.18433741	88.31234646	11.68765354	Low volatility	Training (retrospective)
2026-03-31	66797.38	68589.49	65998.05	68284.48	22105.40662	2.20187994	80.67764405	19.32235595	Low volatility	Training (retrospective)
2026-04-01	68284.49	69310	67578.75	68113.92	19020.1899	-0.25009104	89.06975273	10.93024727	Low volatility	Training (retrospective)
2026-04-02	68113.92	68653.38	65712.12	66901.99	20203.47916	-1.7952885	84.34267938	15.65732062	Low volatility	Training (retrospective)
2026-04-03	66901.99	67370.42	66282	66964.3	11429.13131	0.0930929	90.03749922	9.96250078	Low volatility	Training (retrospective)
2026-04-04	66964.29	67562.93	66775.91	67300.42	7373.51613	0.50068358	90.94956815	9.05043185	Low volatility	Training (retrospective)
2026-04-05	67300.42	69136.2	66611.66	69034.18	11733.46752	2.54352669	76.85340462	23.14659538	Low volatility	Training (retrospective)
2026-04-06	69034.18	70351.46	68300	68853.66	20281.61044	-0.26183615	88.17599561	11.82400439	Low volatility	Training (retrospective)
2026-04-07	68853.66	72761	67732.01	71924.22	23750.49661	4.36296819	23.1509119	76.8490881	High volatility	Training (retrospective)
2026-04-08	71924.22	72857	70707.23	71069.93	19802.68627	-1.19487429	67.1496827	32.8503173	Low volatility	Training (retrospective)
2026-04-09	71069.93	73145	70466	71787.97	18158.42159	1.00525914	83.84786622	16.15213378	Low volatility	Training (retrospective)
2026-04-10	71787.98	73434	71426.15	72962.7	17372.63288	1.62314384	84.85388111	15.14611889	Low volatility	Training (retrospective)
2026-04-11	72962.71	73790	72513.09	73043.16	9070.94374	0.11021477	90.14599845	9.85400155	Low volatility	Training (retrospective)
2026-04-12	73043.16	73137.24	70505.88	70740.98	13472.46801	-3.20254621	59.07899843	40.92100157	Low volatility	Training (retrospective)
2026-04-13	70741.56	74900	70566.99	74417.99	24230.21625	5.06726765	4.42102278	95.57897722	High volatility	Training (retrospective)
2026-04-14	74418	76038	73795.47	74131.55	26532.94456	-0.3856496	65.34626062	34.65373938	Low volatility	Training (retrospective)
2026-04-15	74131.55	75425	73514	74809.99	14425.04167	0.91102145	83.7866598	16.2133402	Low volatility	Training (retrospective)
2026-04-16	74809.99	75534.76	73309.85	75154.29	17088.68777	0.45917682	89.62595293	10.37404707	Low volatility	Training (retrospective)
2026-04-17	75154.28	78333	74529.4	77072	25941.36694	2.51968495	76.62415337	23.37584663	Low volatility	Training (retrospective)
2026-04-18	77072.01	77420.08	75445.16	75691.76	9141.84456	-1.80707461	79.8489845	20.1510155	Low volatility	Training (retrospective)
2026-04-19	75691.76	76240.66	73762.9	73801.79	11369.82232	-2.52863177	70.06075524	29.93924476	Low volatility	Training (retrospective)
2026-04-20	73801.8	76558.62	73724.31	75840.97	16993.41034	2.72556619	63.00973964	36.99026036	Low volatility	Training (retrospective)
2026-04-21	75840.97	76927.57	74821.57	76336.15	14912.57132	0.65079658	84.12094091	15.87905909	Low volatility	Training (retrospective)
2026-04-22	76336.14	79472.82	76132.95	78178.23	19737.51225	2.38446063	76.32125921	23.67874079	Low volatility	Training (retrospective)
2026-04-23	78178.22	78662.5	76960	78257.48	16970.79501	0.10131959	88.23240911	11.76759089	Low volatility	Training (retrospective)
2026-04-24	78257.48	78581.93	77264.08	77437.13	12675.14315	-1.05380346	88.81367732	11.18632268	Low volatility	Training (retrospective)
2026-04-25	77437.13	77885.35	77140.23	77625	5685.1142	0.24231589	90.94540338	9.05459662	Low volatility	Training (retrospective)
2026-04-26	77625	78961	77326.51	78657.55	7963.56162	1.32140796	88.74809105	11.25190895	Low volatility	Training (retrospective)
2026-04-27	78657.55	79485.66	76459.64	77371.32	16046.92418	-1.64874505	85.48189008	14.51810992	Low volatility	Training (retrospective)
2026-04-28	77371.32	77478	75666.6	76342.77	13210.72383	-1.33828376	86.64289836	13.35710164	Low volatility	Training (retrospective)
2026-04-29	76342.78	77904.93	74937.52	75780	18279.93022	-0.73989261	89.49782488	10.50217512	Low volatility	Training (retrospective)
2026-04-30	75780	76669.14	75323.65	76346.57	10381.81607	0.74487004	90.38258737	9.61741263	Low volatility	Training (retrospective)
2026-05-01	76346.58	78914.12	76320.42	78231.13	17315.46502	2.43845442	78.26820707	21.73179293	Low volatility	Training (retrospective)
2026-05-02	78231.13	79199.48	78040	78686.85	6150.87642	0.58084011	88.13608342	11.86391658	Low volatility	Training (retrospective)
2026-05-03	78686.84	79447	78084.08	78568.57	7425.7929	-0.15043046	90.79957953	9.20042047	Low volatility	Training (retrospective)
2026-05-04	78568.58	80776.99	78202	79861.01	26042.96135	1.6316002	86.93057361	13.06942639	Low volatility	Training (retrospective)
2026-05-05	79861.01	81791.48	79808.72	80905.52	16947.17995	1.29943054	87.77566942	12.22433058	Low volatility	Training (retrospective)
2026-05-06	80905.53	82850	80731.14	81447.01	18798.77396	0.66705706	90.16059738	9.83940262	Low volatility	Training (retrospective)
2026-05-07	81447.01	81708.32	79500	80006	16154.80338	-1.78509929	84.8077242	15.1922758	Low volatility	Training (retrospective)
2026-05-08	80006	80500	79181.48	80193.17	16001.31009	0.23367173	90.08415774	9.91584226	Low volatility	Training (retrospective)
2026-05-09	80193.18	81080	80129.85	80678.4	7548.42177	0.60325323	90.79839568	9.20160432	Low volatility	Training (retrospective)
2026-05-10	80678.41	82479.32	80279.77	82210.07	12034.31882	1.88069192	85.00409958	14.99590042	Low volatility	Training (retrospective)
2026-05-11	82210.07	82380	80462.97	81745.65	12951.76056	-0.56652033	89.54285711	10.45714289	Low volatility	Training (retrospective)
2026-05-12	81745.66	81788	79843.59	80504.47	12386.25676	-1.52998865	86.6059788	13.3940212	Low volatility	Training (retrospective)
2026-05-13	80504.47	81324.64	78754.65	79313.61	14810.05643	-1.49029702	85.98931684	14.01068316	Low volatility	Training (retrospective)
2026-05-14	79313.61	82048.13	78922	81089.99	19727.86807	2.2149785	79.571718	20.428282	Low volatility	Training (retrospective)
2026-05-15	81090	81664.45	78659	79113.21	17351.27079	-2.4679661	71.13112237	28.86887763	Low volatility	Training (retrospective)
2026-05-16	79113.2	79227.77	77640	78148.05	12132.86192	-1.22747601	83.17060893	16.82939107	Low volatility	Training (retrospective)
2026-05-17	78148.05	78599.99	76735.16	77457.67	8442.7022	-0.88735109	88.18095282	11.81904718	Low volatility	Training (retrospective)
2026-05-18	77457.67	77800	76051	77001.87	18745.51678	-0.59018863	90.21831661	9.78168339	Low volatility	Training (retrospective)
2026-05-19	77001.88	77414.62	76144.71	76834.36	11024.85978	-0.21777713	91.19642595	8.80357405	Low volatility	Training (retrospective)
2026-05-20	76834.36	77853.04	76516.74	77552.23	11296.26307	0.92997089	90.29628771	9.70371229	Low volatility	Training (retrospective)
2026-05-21	77552.24	78200	76719.47	77615.52	11318.25841	0.08157623	91.31578311	8.68421689	Low volatility	Training (retrospective)
2026-05-22	77615.52	77900	75359.18	75539.5	11272.36134	-2.71117089	72.16296145	27.83703855	Low volatility	Training (retrospective)
2026-05-23	75539.5	77404.18	74289.6	76752.01	15086.88814	1.59238768	81.39552482	18.60447518	Low volatility	Training (retrospective)
2026-05-24	76752	77543.15	76108	77064.96	8398.00156	0.40691275	89.15679244	10.84320756	Low volatility	Training (retrospective)
2026-05-25	77064.96	77905.52	76914.25	77322.01	7672.32197	0.33299473	90.95126877	9.04873123	Low volatility	Training (retrospective)
2026-05-26	77322.01	78080	75677.97	75930.01	16953.47629	-1.81666549	84.79676648	15.20323352	Low volatility	Training (retrospective)
2026-05-27	75930.01	76174.15	74243.99	74449.3	16877.77483	-1.96936381	80.99924607	19.00075393	Low volatility	Training (retrospective)
2026-05-28	74449.31	74590.77	72582.82	73617.51	21274.02026	-1.12354518	86.58648216	13.41351784	Low volatility	Training (retrospective)
2026-05-29	73617.52	74514.1	72512.49	73460.78	18686.74141	-0.21312467	90.41901931	9.58098069	Low volatility	Training (retrospective)
2026-05-30	73460.78	74143.76	73216	73884.38	7515.40909	0.57497805	90.91990617	9.08009383	Low volatility	Training (retrospective)
2026-05-31	73884.38	74275.66	73400	73674.39	6986.45707	-0.28461899	91.28596682	8.71403318	Low volatility	Training (retrospective)
2026-06-01	73674.39	74092	70686.68	71408.9	23921.09184	-3.12327375	62.08543849	37.91456151	Low volatility	Training (retrospective)
2026-06-02	71408.9	71408.9	66193	66760.83	32858.19586	-6.73059801	0.10017853	99.89982147	High volatility	Training (retrospective)
2026-06-03	66760.84	67516	64092.49	64142.75	30138.3065	-4.0005463	7.69145935	92.30854065	High volatility	Training (retrospective)
2026-06-04	64142.75	64764.32	61383.56	63885.99	43577.17571	-0.40109798	66.62282281	33.37717719	Low volatility	Training (retrospective)
2026-06-05	63885.99	63978	59130.91	61056.47	55027.28807	-4.53009149	10.68356861	89.31643139	High volatility	Training (retrospective)
2026-06-06	61056.47	61530.05	59500	60884.62	19795.58877	-0.2818576	68.18863415	31.81136585	Low volatility	Training (retrospective)
2026-06-07	60884.62	64234.68	60746	63332.01	26612.10443	3.94102909	26.77095472	73.22904528	High volatility	Training (retrospective)
2026-06-08	63332.01	64200	62408	63085.99	23053.38624	-0.38921722	73.74207721	26.25792279	Low volatility	Training (retrospective)
2026-06-09	63086	63526.01	60780	61730	21636.21959	-2.172868	73.76418833	26.23581167	Low volatility	Training (retrospective)
2026-06-10	61730	62857.99	60755	61510.99	15998.71652	-0.35541784	87.30992279	12.69007721	Low volatility	Training (retrospective)
2026-06-11	61510.99	63933.02	61510.99	63625.99	17380.94642	3.38061766	54.70871338	45.29128662	Low volatility	Training (retrospective)
2026-06-12	63626	64394.44	62829.81	63580.01	16397.0524	-0.07229219	82.80503379	17.19496621	Low volatility	Training (retrospective)
2026-06-13	63580	64762.77	63418.66	64458.01	9960.74163	1.37148913	86.23736087	13.76263913	Low volatility	Training (retrospective)
2026-06-14	64458.01	65800	63678.83	65746.45	13203.03375	1.97916732	82.45480924	17.54519076	Low volatility	Training (retrospective)
2026-06-15	65746.45	67292.15	65354	66328.74	18559.80102	0.88176102	88.3434896	11.6565104	Low volatility	Training (retrospective)
2026-06-16	66328.74	66992	65360.92	65675.01	14302.05801	-0.99047996	89.09145217	10.90854783	Low volatility	Training (retrospective)
2026-06-17	65675.02	66445.93	63915.77	64509.4	19048.65409	-1.79075382	84.39143842	15.60856158	Low volatility	Training (retrospective)
2026-06-18	64509.4	64806	62272.07	62958.01	16935.59661	-2.43429534	74.03052567	25.96947433	Low volatility	Training (retrospective)
2026-06-19	62958.01	63666	62316.44	63543.91	14247.424	0.92631667	86.05056244	13.94943756	Low volatility	Training (retrospective)
2026-06-20	63543.9	64388	63184.21	64298.01	9522.10324	1.17975191	88.10991517	11.89008483	Low volatility	Training (retrospective)
2026-06-21	64298.01	64588	63270	63311.99	8034.66333	-1.54539554	86.05940012	13.94059988	Low volatility	Training (retrospective)
2026-06-22	63312	65622.83	63312	64020.01	15423.10851	1.1120964	88.40162045	11.59837955	Low volatility	Training (retrospective)
2026-06-23	64020.01	64275.38	61938	62734.57	20222.99292	-2.02830394	81.68740891	18.31259109	Low volatility	Training (retrospective)
2026-06-24	62734.57	63239.06	59102.7	61077.99	30678.28543	-2.67610792	67.84050027	32.15949973	Low volatility	Training (retrospective)
2026-06-25	61078	61962.4	58115.01	59794	30386.00694	-2.12462507	72.08532449	27.91467551	Low volatility	Training (retrospective)
2026-06-26	59794.64	60759.99	58337	60097.27	27403.55723	0.50590947	86.79800319	13.20199681	Low volatility	Training (retrospective)
2026-06-27	60097.27	60941.17	59855.16	60029	9587.22916	-0.11366374	90.53245569	9.46754431	Low volatility	Training (retrospective)
2026-06-28	60029.01	60545.01	58905	59577.01	8907.13796	-0.75580174	90.36493977	9.63506023	Low volatility	Training (retrospective)
2026-06-29	59577.01	60780.57	58900.01	60260.21	20203.14178	1.14022572	89.38178908	10.61821092	Low volatility	Training (retrospective)
2026-06-30	60260.2	60276.54	58201	58624.71	19639.82787	-2.75157385	70.24726511	29.75273489	Low volatility	Training (retrospective)
2026-07-01	58624.71	61334	57800.19	60024	25093.44662	2.35882022	70.68612049	29.31387951	Low volatility	Holdout (fixed parameters)
2026-07-02	60024	62200	59588	61560	21382.14163	2.52678267	67.66307062	32.33692938	Low volatility	Holdout (fixed parameters)
2026-07-03	61560	62979.86	61248.86	62583.26	14048.98627	1.64855212	79.38489445	20.61510555	Low volatility	Holdout (fixed parameters)
2026-07-04	62583.26	63461.99	62328.24	63144.01	9139.8274	0.89201606	87.54798079	12.45201921	Low volatility	Holdout (fixed parameters)
2026-07-05	63144.01	63999	62436.59	63650	9172.07758	0.79813342	89.80397516	10.19602484	Low volatility	Holdout (fixed parameters)
2026-07-06	63650.01	64700	61306.84	64042.02	21435.28437	0.61401054	90.71738462	9.28261538	Low volatility	Holdout (fixed parameters)
2026-07-07	64042.93	64314	62671.39	63363.99	16834.20823	-1.06437114	89.40257771	10.59742229	Low volatility	Holdout (fixed parameters)
2026-07-08	63364	63761.99	61544.56	62290	18620.09796	-1.70948197	85.20272273	14.79727727	Low volatility	Holdout (fixed parameters)
2026-07-09	62290.01	63500	61705.29	63230	16742.80672	1.49779728	86.14700392	13.85299608	Low volatility	Holdout (fixed parameters)
2026-07-10	63230.01	64692.83	62926.01	64161.72	17589.00122	1.46278991	86.64388383	13.35611617	Low volatility	Holdout (fixed parameters)
2026-07-11	64161.72	64504.11	63819	63819	9151.97432	-0.53558195	89.98133484	10.01866516	Low volatility	Holdout (fixed parameters)
2026-07-12	63819.01	64290.11	63640.83	63780	13914.83703	-0.06112901	91.23392178	8.76607822	Low volatility	Holdout (fixed parameters)
2026-07-13	63780	64425	61824.97	62334.52	21682.50204	-2.29242961	79.42949687	20.57050313	Low volatility	Holdout (fixed parameters)
2026-07-14	62334.52	65100	62272.2	65043.98	20552.41384	4.2548291	22.46146463	77.53853537	High volatility	Holdout (fixed parameters)
2026-07-15	65043.99	65600	64485	64756.28	18401.89741	-0.44329722	72.05239308	27.94760692	Low volatility	Holdout (fixed parameters)
2026-07-16	64756.28	64997.52	63748.74	63830.2	18764.52679	-1.44042517	81.86159843	18.13840157	Low volatility	Holdout (fixed parameters)
2026-07-17	63830.2	64387.99	62537.56	63931.67	18189.89389	0.15884242	89.47171506	10.52828494	Low volatility	Holdout (fixed parameters)
2026-07-18	63931.67	64865	63886.65	64834.22	8031.18012	1.40186936	87.93743669	12.06256331	Low volatility	Holdout (fixed parameters)
2026-07-19	64834.21	64967.25	64280	64722.54	8379.91474	-0.17240324	90.74253677	9.25746323	Low volatility	Holdout (fixed parameters)
2026-07-20	64722.55	65799	63100	65255.51	21323.48702	0.82009691	90.48748643	9.51251357	Low volatility	Holdout (fixed parameters)
2026-07-21	65255.51	66956.15	65148.75	66556.16	18618.28087	1.97356155	84.03810126	15.96189874	Low volatility	Holdout (fixed parameters)
2026-07-22	66556.15	66739.89	65553.67	66114.49	18074.86602	-0.66581664	89.08165418	10.91834582	Low volatility	Holdout (fixed parameters)
2026-07-23	66114.5	66313.14	64650	65098.97	14698.22673	-1.54792089	86.34020428	13.65979572	Low volatility	Holdout (fixed parameters)
2026-07-24	65098.98	65808.59	63739.75	64139.99	16821.2718	-1.48406889	85.95216326	14.04783674	Low volatility	Holdout (fixed parameters)
2026-07-25	64140	64475.28	63810	64375	8863.0503	0.36573206	90.22389335	9.77610665	Low volatility	Holdout (fixed parameters)
2026-07-26	64375.01	65577	64293.81	65399.99	7933.06089	1.57967466	87.10096777	12.89903223	Low volatility	Holdout (fixed parameters)
2026-07-27	65400	65744.6	63605.56	63755.86	14791.90543	-2.54610042	73.27038328	26.72961672	Low volatility	Holdout (fixed parameters)
2026-07-28	63755.86	64100	62742.47	63915	13889.82996	0.24929742	87.44155399	12.55844601	Low volatility	Holdout (fixed parameters)
2026-07-29	63915	64744.81	63267.34	63984.28	16780.11912	0.10833526	90.70582826	9.29417174	Low volatility	Holdout (fixed parameters)
2026-07-30	63984.29	65176.6	63603.92	64780.02	17131.58486	1.23597943	89.07455332	10.92544668	Low volatility	Holdout (fixed parameters)
2026-07-31	64780.03	65409.56	62466	62887.88	20475.60686	-2.96437641	64.99947745	35.00052255	Low volatility	Holdout (fixed parameters)
2026-08-01	62887.88	63150	62275	62823.64	7563.08904	-0.10220226	85.46490025	14.53509975	Low volatility	Holdout (fixed parameters)
2026-08-02	62823.65	63796.33	62806.58	63570	8387.01154	1.18102252	87.95090178	12.04909822	Low volatility	Holdout (fixed parameters)
2026-08-03	63570.01	64080	62300	63520	15543.29743	-0.0786844	90.79617935	9.20382065	Low volatility	Holdout (fixed parameters)
2026-08-04	63520	64549.16	63322.01	64106.56	13690.47909	0.91918818	90.23326289	9.76673711	Low volatility	Holdout (fixed parameters)
2026-08-05	64106.55	65025.22	63880	64665.23	12742.85528	0.86769549	90.24557815	9.75442185	Low volatility	Holdout (fixed parameters)
2026-08-06	64665.24	64999	64172	64323.61	9864.43284	-0.52969047	90.79914918	9.20085082	Low volatility	Holdout (fixed parameters)
2026-08-07	64323.61	65390.99	64166	64923.19	11807.40403	0.92781299	90.2089105	9.7910895	Low volatility	Holdout (fixed parameters)
2026-08-08	64923.2	65192.54	64784.19	64962.6	5760.14298	0.06068408	91.29893634	8.70106366	Low volatility	Holdout (fixed parameters)
2026-08-09	64962.6	65474.46	64730.08	64901.59	7031.23606	-0.0939597	91.49884879	8.50115121	Low volatility	Holdout (fixed parameters)
2026-08-10	64901.59	65391.14	63806.27	63970.01	13638.40877	-1.44577429	87.73013262	12.26986738	Low volatility	Holdout (fixed parameters)
2026-08-11	63970.01	64515.43	63238	63600	12891.63248	-0.58009094	90.13726959	9.86273041	Low volatility	Holdout (fixed parameters)
2026-08-12	63600.01	64500	63310.34	63479.99	13627.06822	-0.18887322	91.20098168	8.79901832	Low volatility	Holdout (fixed parameters)
2026-08-13	63479.99	64010	62802.27	63490.86	10793.85853	0.01712204	91.50592894	8.49407106	Low volatility	Holdout (fixed parameters)
2026-08-14	63490.86	63617.45	62535.24	63043.56	12340.82899	-0.70700425	90.7106042	9.2893958	Low volatility	Holdout (fixed parameters)
2026-08-15	63043.56	63187.98	62920	63086.01	5405.16038	0.06731174	91.40393847	8.59606153	Low volatility	Holdout (fixed parameters)
2026-08-16	63086.01	63390	62716	62900	4737.23135	-0.29528697	91.37825482	8.62174518	Low volatility	Holdout (fixed parameters)
2026-08-17	62900	64610.01	62751.1	64532.1	14255.64713	2.56166107	76.75464784	23.24535216	Low volatility	Holdout (fixed parameters)
2026-08-18	64532.11	65058.81	64027.85	64725.42	11789.91312	0.29912402	88.2143207	11.7856793	Low volatility	Holdout (fixed parameters)
2026-08-19	64725.42	70000	64166	69334.79	29054.29976	6.87927858	0.15539668	99.84460332	High volatility	Holdout (fixed parameters)
2026-08-20	69334.78	73400	68902.22	73025.15	35904.79287	5.18571019	1.25294239	98.74705761	High volatility	Holdout (fixed parameters)
2026-08-21	73027.02	79500	73027.02	78338.03	44339.56568	7.02292788	0.0198347	99.9801653	High volatility	Holdout (fixed parameters)
2026-08-22	78338.03	78828.15	76500	77074.93	18524.50847	-1.62551156	51.58611306	48.41388694	Low volatility	Holdout (fixed parameters)
2026-08-23	77074.94	78052.85	75545.67	77734	15367.23185	0.85146765	80.124371	19.875629	Low volatility	Holdout (fixed parameters)
2026-08-24	77734	80000	76670.01	78992.75	30179.29391	1.6063334	83.8194566	16.1805434	Low volatility	Holdout (fixed parameters)
2026-08-25	78992.76	81272.62	77851	78539.14	24772.51394	-0.57589768	89.24810732	10.75189268	Low volatility	Holdout (fixed parameters)
2026-08-26	78539.13	79251.6	77632.58	79023.75	14613.75887	0.61513409	90.59195473	9.40804527	Low volatility	Holdout (fixed parameters)
2026-08-27	79023.75	80848.74	78546.13	80249.58	16265.53695	1.53930882	87.4639539	12.5360461	Low volatility	Holdout (fixed parameters)
2026-08-28	80249.59	81478.87	76888	77845.87	19756.43646	-3.04106822	62.00541196	37.99458804	Low volatility	Holdout (fixed parameters)
2026-08-29	77845.88	78330	77382.37	78230	7016.30257	0.49223596	84.27137429	15.72862571	Low volatility	Holdout (fixed parameters)
2026-08-30	78230	79400	77000	77682	9085.42405	-0.70296354	89.03761777	10.96238223	Low volatility	Holdout (fixed parameters)
2026-08-31	77682	79250	77392	78581.29	15303.90602	1.15100601	89.00277206	10.99722794	Low volatility	Holdout (fixed parameters)
2026-09-01	78581.3	79220.61	76420	77439	14130.63949	-1.46431007	86.88158767	13.11841233	Low volatility	Holdout (fixed parameters)
2026-09-02	77439.01	77792	76264	77340.01	13070.9782	-0.12791142	90.54283758	9.45716242	Low volatility	Holdout (fixed parameters)
2026-09-03	77340.01	82300	76968	81270.37	19806.42247	4.9570082	10.27647122	89.72352878	High volatility	Holdout (fixed parameters)
2026-09-04	81270.37	81427.75	78660	79660.77	19198.62549	-2.00042537	49.71890013	50.28109987	High volatility	Holdout (fixed parameters)
2026-09-05	79660.77	80200	79442	79831.75	9117.2402	0.21440512	81.39102994	18.60897006	Low volatility	Holdout (fixed parameters)
2026-09-06	79831.75	80559.99	79233	80341.83	8854.81827	0.63691119	88.75252101	11.24747899	Low volatility	Holdout (fixed parameters)
2026-09-07	80341.83	80443.99	78680	79112.01	10572.45495	-1.54257105	86.27698886	13.72301114	Low volatility	Holdout (fixed parameters)
2026-09-08	79112	79485	77620.01	78455.8	19235.06605	-0.83292875	89.13258954	10.86741046	Low volatility	Holdout (fixed parameters)
2026-09-09	78455.8	79760	77770	78306.43	14129.92027	-0.19056892	90.98582221	9.01417779	Low volatility	Holdout (fixed parameters)
2026-09-10	78306.43	78564.39	76464	76568.72	15320.36904	-2.24410814	80.00086472	19.99913528	Low volatility	Holdout (fixed parameters)
2026-09-11	76568.73	79890	76046.58	77225.7	19713.27729	0.85436649	87.827533	12.172467	Low volatility	Holdout (fixed parameters)
2026-09-12	77225.71	77505.67	77059.75	77278.73	8060.44455	0.06864528	90.79366763	9.20633237	Low volatility	Holdout (fixed parameters)
2026-09-13	77278.73	77450	76500	76842.01	6959.68366	-0.56672602	90.85172403	9.14827597	Low volatility	Holdout (fixed parameters)

Mint: low volatility. Amber: high volatility. January–June is a retrospective view using parameters fitted over that period. From July onward, parameters stay fixed and probabilities update daily. The classification threshold is 50%; the full probability series appears below.

02 / Recent shifts in state probabilities

From July onward, state probabilities use only returns observed up to that day. Classifications can flip when probabilities sit near the threshold. The full probability trajectory makes that uncertainty visible.

Out-of-sample state probabilities data

Out-of-sample state probabilities — data
Date (UTC)	State	Probability
2026-07-01	Low volatility	70.6861
2026-07-01	High volatility	29.3139
2026-07-02	Low volatility	67.6631
2026-07-02	High volatility	32.3369
2026-07-03	Low volatility	79.3849
2026-07-03	High volatility	20.6151
2026-07-04	Low volatility	87.548
2026-07-04	High volatility	12.452
2026-07-05	Low volatility	89.804
2026-07-05	High volatility	10.196
2026-07-06	Low volatility	90.7174
2026-07-06	High volatility	9.2826
2026-07-07	Low volatility	89.4026
2026-07-07	High volatility	10.5974
2026-07-08	Low volatility	85.2027
2026-07-08	High volatility	14.7973
2026-07-09	Low volatility	86.147
2026-07-09	High volatility	13.853
2026-07-10	Low volatility	86.6439
2026-07-10	High volatility	13.3561
2026-07-11	Low volatility	89.9813
2026-07-11	High volatility	10.0187
2026-07-12	Low volatility	91.2339
2026-07-12	High volatility	8.7661
2026-07-13	Low volatility	79.4295
2026-07-13	High volatility	20.5705
2026-07-14	Low volatility	22.4615
2026-07-14	High volatility	77.5385
2026-07-15	Low volatility	72.0524
2026-07-15	High volatility	27.9476
2026-07-16	Low volatility	81.8616
2026-07-16	High volatility	18.1384
2026-07-17	Low volatility	89.4717
2026-07-17	High volatility	10.5283
2026-07-18	Low volatility	87.9374
2026-07-18	High volatility	12.0626
2026-07-19	Low volatility	90.7425
2026-07-19	High volatility	9.2575
2026-07-20	Low volatility	90.4875
2026-07-20	High volatility	9.5125
2026-07-21	Low volatility	84.0381
2026-07-21	High volatility	15.9619
2026-07-22	Low volatility	89.0817
2026-07-22	High volatility	10.9183
2026-07-23	Low volatility	86.3402
2026-07-23	High volatility	13.6598
2026-07-24	Low volatility	85.9522
2026-07-24	High volatility	14.0478
2026-07-25	Low volatility	90.2239
2026-07-25	High volatility	9.7761
2026-07-26	Low volatility	87.101
2026-07-26	High volatility	12.899
2026-07-27	Low volatility	73.2704
2026-07-27	High volatility	26.7296
2026-07-28	Low volatility	87.4416
2026-07-28	High volatility	12.5584
2026-07-29	Low volatility	90.7058
2026-07-29	High volatility	9.2942
2026-07-30	Low volatility	89.0746
2026-07-30	High volatility	10.9254
2026-07-31	Low volatility	64.9995
2026-07-31	High volatility	35.0005
2026-08-01	Low volatility	85.4649
2026-08-01	High volatility	14.5351
2026-08-02	Low volatility	87.9509
2026-08-02	High volatility	12.0491
2026-08-03	Low volatility	90.7962
2026-08-03	High volatility	9.2038
2026-08-04	Low volatility	90.2333
2026-08-04	High volatility	9.7667
2026-08-05	Low volatility	90.2456
2026-08-05	High volatility	9.7544
2026-08-06	Low volatility	90.7991
2026-08-06	High volatility	9.2009
2026-08-07	Low volatility	90.2089
2026-08-07	High volatility	9.7911
2026-08-08	Low volatility	91.2989
2026-08-08	High volatility	8.7011
2026-08-09	Low volatility	91.4988
2026-08-09	High volatility	8.5012
2026-08-10	Low volatility	87.7301
2026-08-10	High volatility	12.2699
2026-08-11	Low volatility	90.1373
2026-08-11	High volatility	9.8627
2026-08-12	Low volatility	91.201
2026-08-12	High volatility	8.799
2026-08-13	Low volatility	91.5059
2026-08-13	High volatility	8.4941
2026-08-14	Low volatility	90.7106
2026-08-14	High volatility	9.2894
2026-08-15	Low volatility	91.4039
2026-08-15	High volatility	8.5961
2026-08-16	Low volatility	91.3783
2026-08-16	High volatility	8.6217
2026-08-17	Low volatility	76.7546
2026-08-17	High volatility	23.2454
2026-08-18	Low volatility	88.2143
2026-08-18	High volatility	11.7857
2026-08-19	Low volatility	0.1554
2026-08-19	High volatility	99.8446
2026-08-20	Low volatility	1.2529
2026-08-20	High volatility	98.7471
2026-08-21	Low volatility	0.0198
2026-08-21	High volatility	99.9802
2026-08-22	Low volatility	51.5861
2026-08-22	High volatility	48.4139
2026-08-23	Low volatility	80.1244
2026-08-23	High volatility	19.8756
2026-08-24	Low volatility	83.8195
2026-08-24	High volatility	16.1805
2026-08-25	Low volatility	89.2481
2026-08-25	High volatility	10.7519
2026-08-26	Low volatility	90.592
2026-08-26	High volatility	9.408
2026-08-27	Low volatility	87.464
2026-08-27	High volatility	12.536
2026-08-28	Low volatility	62.0054
2026-08-28	High volatility	37.9946
2026-08-29	Low volatility	84.2714
2026-08-29	High volatility	15.7286
2026-08-30	Low volatility	89.0376
2026-08-30	High volatility	10.9624
2026-08-31	Low volatility	89.0028
2026-08-31	High volatility	10.9972
2026-09-01	Low volatility	86.8816
2026-09-01	High volatility	13.1184
2026-09-02	Low volatility	90.5428
2026-09-02	High volatility	9.4572
2026-09-03	Low volatility	10.2765
2026-09-03	High volatility	89.7235
2026-09-04	Low volatility	49.7189
2026-09-04	High volatility	50.2811
2026-09-05	Low volatility	81.391
2026-09-05	High volatility	18.609
2026-09-06	Low volatility	88.7525
2026-09-06	High volatility	11.2475
2026-09-07	Low volatility	86.277
2026-09-07	High volatility	13.723
2026-09-08	Low volatility	89.1326
2026-09-08	High volatility	10.8674
2026-09-09	Low volatility	90.9858
2026-09-09	High volatility	9.0142
2026-09-10	Low volatility	80.0009
2026-09-10	High volatility	19.9991
2026-09-11	Low volatility	87.8275
2026-09-11	High volatility	12.1725
2026-09-12	Low volatility	90.7937
2026-09-12	High volatility	9.2063
2026-09-13	Low volatility	90.8517
2026-09-13	High volatility	9.1483

At the latest completed daily close, the low-volatility probability was 90.9%. It had been the more likely state for 9 consecutive days. The closing price was 76842.01 USDT, a 30-day change of 21.9%. Cumulative price gains can coexist with smaller recent daily moves: the 30-day return and the current volatility state describe different aspects of the market.

OHLC: the latest 30 completed days data

OHLC: the latest 30 completed days — data
Date (UTC)	Open	High	Low	Close	Volume	Daily log return	Low-volatility probability	High-volatility probability	State	Estimation period
2026-08-15	63043.56	63187.98	62920	63086.01	5405.16038	0.06731174	91.40393847	8.59606153	Low volatility	Holdout (fixed parameters)
2026-08-16	63086.01	63390	62716	62900	4737.23135	-0.29528697	91.37825482	8.62174518	Low volatility	Holdout (fixed parameters)
2026-08-17	62900	64610.01	62751.1	64532.1	14255.64713	2.56166107	76.75464784	23.24535216	Low volatility	Holdout (fixed parameters)
2026-08-18	64532.11	65058.81	64027.85	64725.42	11789.91312	0.29912402	88.2143207	11.7856793	Low volatility	Holdout (fixed parameters)
2026-08-19	64725.42	70000	64166	69334.79	29054.29976	6.87927858	0.15539668	99.84460332	High volatility	Holdout (fixed parameters)
2026-08-20	69334.78	73400	68902.22	73025.15	35904.79287	5.18571019	1.25294239	98.74705761	High volatility	Holdout (fixed parameters)
2026-08-21	73027.02	79500	73027.02	78338.03	44339.56568	7.02292788	0.0198347	99.9801653	High volatility	Holdout (fixed parameters)
2026-08-22	78338.03	78828.15	76500	77074.93	18524.50847	-1.62551156	51.58611306	48.41388694	Low volatility	Holdout (fixed parameters)
2026-08-23	77074.94	78052.85	75545.67	77734	15367.23185	0.85146765	80.124371	19.875629	Low volatility	Holdout (fixed parameters)
2026-08-24	77734	80000	76670.01	78992.75	30179.29391	1.6063334	83.8194566	16.1805434	Low volatility	Holdout (fixed parameters)
2026-08-25	78992.76	81272.62	77851	78539.14	24772.51394	-0.57589768	89.24810732	10.75189268	Low volatility	Holdout (fixed parameters)
2026-08-26	78539.13	79251.6	77632.58	79023.75	14613.75887	0.61513409	90.59195473	9.40804527	Low volatility	Holdout (fixed parameters)
2026-08-27	79023.75	80848.74	78546.13	80249.58	16265.53695	1.53930882	87.4639539	12.5360461	Low volatility	Holdout (fixed parameters)
2026-08-28	80249.59	81478.87	76888	77845.87	19756.43646	-3.04106822	62.00541196	37.99458804	Low volatility	Holdout (fixed parameters)
2026-08-29	77845.88	78330	77382.37	78230	7016.30257	0.49223596	84.27137429	15.72862571	Low volatility	Holdout (fixed parameters)
2026-08-30	78230	79400	77000	77682	9085.42405	-0.70296354	89.03761777	10.96238223	Low volatility	Holdout (fixed parameters)
2026-08-31	77682	79250	77392	78581.29	15303.90602	1.15100601	89.00277206	10.99722794	Low volatility	Holdout (fixed parameters)
2026-09-01	78581.3	79220.61	76420	77439	14130.63949	-1.46431007	86.88158767	13.11841233	Low volatility	Holdout (fixed parameters)
2026-09-02	77439.01	77792	76264	77340.01	13070.9782	-0.12791142	90.54283758	9.45716242	Low volatility	Holdout (fixed parameters)
2026-09-03	77340.01	82300	76968	81270.37	19806.42247	4.9570082	10.27647122	89.72352878	High volatility	Holdout (fixed parameters)
2026-09-04	81270.37	81427.75	78660	79660.77	19198.62549	-2.00042537	49.71890013	50.28109987	High volatility	Holdout (fixed parameters)
2026-09-05	79660.77	80200	79442	79831.75	9117.2402	0.21440512	81.39102994	18.60897006	Low volatility	Holdout (fixed parameters)
2026-09-06	79831.75	80559.99	79233	80341.83	8854.81827	0.63691119	88.75252101	11.24747899	Low volatility	Holdout (fixed parameters)
2026-09-07	80341.83	80443.99	78680	79112.01	10572.45495	-1.54257105	86.27698886	13.72301114	Low volatility	Holdout (fixed parameters)
2026-09-08	79112	79485	77620.01	78455.8	19235.06605	-0.83292875	89.13258954	10.86741046	Low volatility	Holdout (fixed parameters)
2026-09-09	78455.8	79760	77770	78306.43	14129.92027	-0.19056892	90.98582221	9.01417779	Low volatility	Holdout (fixed parameters)
2026-09-10	78306.43	78564.39	76464	76568.72	15320.36904	-2.24410814	80.00086472	19.99913528	Low volatility	Holdout (fixed parameters)
2026-09-11	76568.73	79890	76046.58	77225.7	19713.27729	0.85436649	87.827533	12.172467	Low volatility	Holdout (fixed parameters)
2026-09-12	77225.71	77505.67	77059.75	77278.73	8060.44455	0.06864528	90.79366763	9.20633237	Low volatility	Holdout (fixed parameters)
2026-09-13	77278.73	77450	76500	76842.01	6959.68366	-0.56672602	90.85172403	9.14827597	Low volatility	Holdout (fixed parameters)

03 / How the model identifies volatility regimes

The model assumes that markets move between states that cannot be observed directly. Each state has its own mean daily return and volatility. Transition probabilities describe how persistent the states are. All parameters are estimated from historical returns.

Fitted return distributions by state data

Fitted return distributions by state — data
Daily log return	State	Probability density
-15	Low volatility	0
-15	High volatility	0.00021608749677793943
-14.9	Low volatility	0
-14.9	High volatility	0.00023427041556186822
-14.8	Low volatility	0.00000000000000000001
-14.8	High volatility	0.0002538457606198753
-14.7	Low volatility	0
-14.7	High volatility	0.000274907785367119
-14.6	Low volatility	0
-14.6	High volatility	0.00029755607479418835
-14.5	Low volatility	0.00000000000000000001
-14.5	High volatility	0.0003218957631519774
-14.4	Low volatility	0.00000000000000000001
-14.4	High volatility	0.00034803775398911885
-14.3	Low volatility	0.00000000000000000002
-14.3	High volatility	0.0003760989419916908
-14.2	Low volatility	0.00000000000000000003
-14.2	High volatility	0.0004062024360226195
-14.1	Low volatility	0.00000000000000000006
-14.1	High volatility	0.0004384777827043849
-14	Low volatility	0.00000000000000000011
-14	High volatility	0.0004730611898334022
-13.9	Low volatility	0.0000000000000000002
-13.9	High volatility	0.0005100957488579391
-13.8	Low volatility	0.00000000000000000036
-13.8	High volatility	0.0005497316555939231
-13.7	Low volatility	0.00000000000000000065
-13.7	High volatility	0.0005921264282945546
-13.6	Low volatility	0.00000000000000000118
-13.6	High volatility	0.0006374451221306341
-13.5	Low volatility	0.00000000000000000211
-13.5	High volatility	0.0006858605390791041
-13.4	Low volatility	0.00000000000000000377
-13.4	High volatility	0.0007375534321578035
-13.3	Low volatility	0.0000000000000000067
-13.3	High volatility	0.0007927127028850979
-13.2	Low volatility	0.00000000000000001185
-13.2	High volatility	0.0008515355907842547
-13.1	Low volatility	0.00000000000000002089
-13.1	High volatility	0.0009142278536944335
-13	Low volatility	0.00000000000000003665
-13	High volatility	0.0009810039375933858
-12.9	Low volatility	0.00000000000000006402
-12.9	High volatility	0.0010520871345817552
-12.8	Low volatility	0.00000000000000011137
-12.8	High volatility	0.001127709727625597
-12.7	Low volatility	0.00000000000000019289
-12.7	High volatility	0.00120811312060291
-12.6	Low volatility	0.00000000000000033268
-12.6	High volatility	0.0012935479521518887
-12.5	Low volatility	0.00000000000000057129
-12.5	High volatility	0.001384274191773834
-12.4	Low volatility	0.00000000000000097685
-12.4	High volatility	0.0014805612166025794
-12.3	Low volatility	0.00000000000000166316
-12.3	High volatility	0.0015826878672154357
-12.2	Low volatility	0.00000000000000281951
-12.2	High volatility	0.0016909424808284354
-12.1	Low volatility	0.00000000000000475934
-12.1	High volatility	0.0018056229001916213
-12	Low volatility	0.00000000000000799933
-12	High volatility	0.0019270364564788623
-11.9	Low volatility	0.00000000000001338735
-11.9	High volatility	0.0020554999244513255
-11.8	Low volatility	0.00000000000002230847
-11.8	High volatility	0.002191339448165369
-11.7	Low volatility	0.00000000000003701512
-11.7	High volatility	0.0023348904354941634
-11.6	Low volatility	0.00000000000006115367
-11.6	High volatility	0.002486497419738668
-11.5	Low volatility	0.00000000000010060046
-11.5	High volatility	0.0026465138866180802
-11.4	Low volatility	0.00000000000016478267
-11.4	High volatility	0.00281530206495279
-11.3	Low volatility	0.00000000000026875539
-11.3	High volatility	0.0029932326793850987
-11.2	Low volatility	0.00000000000043645242
-11.2	High volatility	0.003180684663524391
-11.1	Low volatility	0.00000000000070574971
-11.1	High volatility	0.0033780448319550237
-11	Low volatility	0.00000000000113631463
-11	High volatility	0.0035857075096068637
-10.9	Low volatility	0.00000000000182171557
-10.9	High volatility	0.003804074117060638
-10.8	Low volatility	0.0000000000029080149
-10.8	High volatility	0.004033552710443649
-10.7	Low volatility	0.00000000000462217908
-10.7	High volatility	0.004274557474665602
-10.6	Low volatility	0.00000000000731528062
-10.6	High volatility	0.004527508168850171
-10.5	Low volatility	0.00000000001152787603
-10.5	High volatility	0.004792829522935271
-10.4	Low volatility	0.00000000001808846391
-10.4	High volatility	0.005070950584543774
-10.3	Low volatility	0.00000000002826104141
-10.3	High volatility	0.005362304015367282
-10.2	Low volatility	0.00000000004396516612
-10.2	High volatility	0.005667325336457876
-10.1	Low volatility	0.00000000006810254768
-10.1	High volatility	0.00598645212198665
-10	Low volatility	0.00000000010503936385
-10	High volatility	0.006320123141203503
-9.9	Low volatility	0.00000000016131505117
-9.9	High volatility	0.006668777448519231
-9.8	Low volatility	0.00000000024667877385
-9.8	High volatility	0.007032853421828644
-9.7	Low volatility	0.00000000037559755395
-9.7	High volatility	0.007412787749401977
-9.6	Low volatility	0.00000000056943979325
-9.6	High volatility	0.007809014365889943
-9.5	Low volatility	0.0000000008596208765
-9.5	High volatility	0.00822196333821628
-9.4	Low volatility	0.00000000129211205595
-9.4	High volatility	0.008652059702368202
-9.3	Low volatility	0.00000000193387093678
-9.3	High volatility	0.009099722252341078
-9.2	Low volatility	0.00000000288196616698
-9.2	High volatility	0.009565362282746164
-9.1	Low volatility	0.00000000427645939692
-9.1	High volatility	0.010049382286849953
-9	Low volatility	0.00000000631849885695
-9	High volatility	0.010552174612079144
-8.9	Low volatility	0.00000000929560269116
-8.9	High volatility	0.011074120075294663
-8.8	Low volatility	0.00000001361680688169
-8.8	High volatility	0.011615586540412474
-8.7	Low volatility	0.00000001986127326693
-8.7	High volatility	0.012176927461224158
-8.6	Low volatility	0.00000002884516176676
-8.6	High volatility	0.012758480392547782
-8.5	Low volatility	0.00000004171314685041
-8.5	High volatility	0.013360565473116117
-8.4	Low volatility	0.00000006006299902503
-8.4	High volatility	0.013983483883884887
-8.3	Low volatility	0.00000008611427620583
-8.3	High volatility	0.014627516285715628
-8.2	Low volatility	0.0000001229355196926
-8.2	High volatility	0.015292921240655809
-8.1	Low volatility	0.00000017474859422809
-8.1	High volatility	0.015979933621300072
-8	Low volatility	0.0000002473341493565
-8	High volatility	0.01668876301297106
-7.9	Low volatility	0.0000003485688387154
-7.9	High volatility	0.017419592113701983
-7.8	Low volatility	0.0000004891331746229
-7.8	High volatility	0.01817257513723776
-7.7	Low volatility	0.00000068343900660977
-7.7	High volatility	0.018947836224491997
-7.6	Low volatility	0.00000095083790950223
-7.6	High volatility	0.01974546786910417
-7.5	Low volatility	0.00000131718658335712
-7.5	High volatility	0.02056552936293215
-7.4	Low volatility	0.00000181686304611513
-7.4	High volatility	0.02140804526748869
-7.3	Low volatility	0.00000249534827461954
-7.3	High volatility	0.022273003917484487
-7.2	Low volatility	0.00000341251232549266
-7.2	High volatility	0.023160355962773698
-7.1	Low volatility	0.00000464677209110127
-7.1	High volatility	0.02407001295510938
-7	Low volatility	0.00000630031987017889
-7	High volatility	0.02500184598620274
-6.9	Low volatility	0.00000850565787192161
-6.9	High volatility	0.0259556843836432
-6.8	Low volatility	0.00001143371344981572
-6.8	High volatility	0.02693131447127117
-6.7	Low volatility	0.00001530385284861552
-6.7	High volatility	0.027928478400603505
-6.6	Low volatility	0.00002039615679671282
-6.6	High volatility	0.02894687305989132
-6.5	Low volatility	0.00002706636824585073
-6.5	High volatility	0.029986149067337882
-6.4	Low volatility	0.0000357639693416812
-6.4	High volatility	0.031045909854924295
-6.3	Low volatility	0.00004705388915067642
-6.3	High volatility	0.03212571084917635
-6.2	Low volatility	0.00006164238301059288
-6.2	High volatility	0.03322505875506213
-6.1	Low volatility	0.00008040765518917797
-6.1	High volatility	0.03434341094903186
-6	Low volatility	0.00010443581471004364
-6	High volatility	0.03548017498700104
-5.9	Low volatility	0.00013506275491974556
-5.9	High volatility	0.0366347082328359
-5.8	Low volatility	0.0001739225251524221
-5.8	High volatility	0.0378063176126227
-5.7	Low volatility	0.0002230027116561603
-5.7	High volatility	0.03899425949969558
-5.6	Low volatility	0.00028470725831981745
-5.6	High volatility	0.04019773973505576
-5.5	Low volatility	0.0003619270290253066
-5.5	High volatility	0.04141591378744383
-5.4	Low volatility	0.0004581182360954588
-5.4	High volatility	0.042647887056923496
-5.3	Low volatility	0.0005773886272396118
-5.3	High volatility	0.04389271532540338
-5.2	Low volatility	0.0007245910314872529
-5.2	High volatility	0.045149405357062265
-5.1	Low volatility	0.0009054235091889185
-5.1	High volatility	0.04641691565115602
-5	Low volatility	0.0011265349306690087
-5	High volatility	0.04769415734917069
-4.9	Low volatility	0.0013956343236626674
-4.9	High volatility	0.04897999529775012
-4.8	Low volatility	0.0017216017857421863
-4.8	High volatility	0.05027324926826783
-4.7	Low volatility	0.0021145981630071634
-4.7	High volatility	0.051572695333334855
-4.6	Low volatility	0.0025861700633858656
-4.6	High volatility	0.052877067399940865
-4.5	Low volatility	0.0031493461199573296
-4.5	High volatility	0.054185058898315444
-4.4	Low volatility	0.0038187197699688868
-4.4	High volatility	0.05549532462497494
-4.3	Low volatility	0.004610513197154705
-4.3	High volatility	0.05680648273778938
-4.2	Low volatility	0.005542616531993509
-4.2	High volatility	0.05811711690026579
-4.1	Low volatility	0.006634595954467068
-4.1	High volatility	0.05942577857160386
-4	Low volatility	0.007907664037831682
-4	High volatility	0.060730989438437695
-3.9	Low volatility	0.009384605552970061
-3.9	High volatility	0.06203124398353952
-3.8	Low volatility	0.011089652064243973
-3.8	High volatility	0.06332501218612753
-3.7	Low volatility	0.013048299030534862
-3.7	High volatility	0.06461074234779758
-3.6	Low volatility	0.015287059815846792
-3.6	High volatility	0.06588686403748639
-3.5	Low volatility	0.01783315204158907
-3.5	High volatility	0.06715179114827963
-3.4	Low volatility	0.0207141130963416
-3.4	High volatility	0.06840392505830135
-3.3	Low volatility	0.023957343364318744
-3.3	High volatility	0.06964165788736774
-3.2	Low volatility	0.027589577830953217
-3.2	High volatility	0.07086337584055961
-3.1	Low volatility	0.031636289145127665
-3.1	High volatility	0.07206746262936804
-3	Low volatility	0.03612102791515014
-3	High volatility	0.07325230296059931
-2.9	Low volatility	0.04106470892180393
-2.9	High volatility	0.0744162860827913
-2.8	Low volatility	0.04648485495876464
-2.8	High volatility	0.0755578093794967
-2.7	Low volatility	0.052394813051614635
-2.7	High volatility	0.07667528199843138
-2.6	Low volatility	0.05880296073861076
-2.6	High volatility	0.07776712850517147
-2.5	Low volatility	0.06571192278388906
-2.5	High volatility	0.07883179254981218
-2.4	Low volatility	0.07311782099419441
-2.4	High volatility	0.07986774053477756
-2.3	Low volatility	0.0810095815795762
-2.3	High volatility	0.08087346527179434
-2.2	Low volatility	0.08936832559869737
-2.2	High volatility	0.08184748961591737
-2.1	Low volatility	0.09816686833577172
-2.1	High volatility	0.08278837006441894
-2	Low volatility	0.10736935286519002
-2	High volatility	0.08369470030833187
-1.9	Low volatility	0.11693104149688668
-1.9	High volatility	0.08456511472446625
-1.8	Low volatility	0.1267982862213144
-1.8	High volatility	0.08539829179580347
-1.7	Low volatility	0.13690869568968578
-1.7	High volatility	0.08619295744830842
-1.6	Low volatility	0.14719151172038178
-1.6	High volatility	0.0869478882923919
-1.5	Low volatility	0.1575682029109123
-1.5	High volatility	0.08766191475749896
-1.4	Low volatility	0.16795327679832017
-1.4	High volatility	0.08833392410859618
-1.3	Low volatility	0.17825530533535833
-1.3	High volatility	0.08896286333367873
-1.2	Low volatility	0.18837815145968265
-1.2	High volatility	0.089547741891817
-1.1	Low volatility	0.1982223774839709
-1.1	High volatility	0.0900876343117103
-1	Low volatility	0.20768680920210553
-1	High volatility	0.0905816826312093
-0.9	Low volatility	0.21667022327473454
-0.9	High volatility	0.09102909866880904
-0.8	Low volatility	0.22507311990641227
-0.8	High volatility	0.09142916611869618
-0.7	Low volatility	0.23279953831747882
-0.7	High volatility	0.09178124246155683
-0.6	Low volatility	0.23975886927625575
-0.6	High volatility	0.0920847606840106
-0.5	Low volatility	0.24586761717581285
-0.5	High volatility	0.09233923080023056
-0.4	Low volatility	0.2510510639438343
-0.4	High volatility	0.0925442411700337
-0.3	Low volatility	0.25524478852940585
-0.3	High volatility	0.09269945960847865
-0.2	Low volatility	0.25839599881291103
-0.2	High volatility	0.09280463428278432
-0.1	Low volatility	0.2604646374593299
-0.1	High volatility	0.0928595943931793
0	Low volatility	0.26142422933595405
0	High volatility	0.09286425063510594
0.1	Low volatility	0.2612624454332285
0.1	High volatility	0.09281859544102791
0.2	Low volatility	0.25998136649664233
0.2	High volatility	0.09272270300092503
0.3	Low volatility	0.25759743848877015
0.3	High volatility	0.09257672906139756
0.4	Low volatility	0.25414112121421756
0.4	High volatility	0.09238091050414148
0.5	Low volatility	0.24965624060266567
0.5	High volatility	0.0921355647053915
0.6	Low volatility	0.24419906390518784
0.6	High volatility	0.09184108867875676
0.7	Low volatility	0.23783712508407787
0.7	High volatility	0.091497958004689
0.8	Low volatility	0.23064783466840028
0.8	High volatility	0.09110672555062445
0.9	Low volatility	0.2227169140558819
0.9	High volatility	0.09066801998661997
1	Low volatility	0.21413669847482478
1	High volatility	0.09018254410206196
1.1	Low volatility	0.2050043554520341
1.1	High volatility	0.08965107292975638
1.2	Low volatility	0.19542006660955605
1.2	High volatility	0.08907445168440827
1.3	Low volatility	0.18548521995072229
1.3	High volatility	0.08845359352316505
1.4	Low volatility	0.17530065757913577
1.4	High volatility	0.08778947713652784
1.5	Low volatility	0.16496502016911643
1.5	High volatility	0.08708314417852424
1.6	Low volatility	0.1545732246716086
1.6	High volatility	0.08633569654558453
1.7	Low volatility	0.14421510593558368
1.7	High volatility	0.08554829351406532
1.8	Low volatility	0.1339742464196385
1.8	High volatility	0.08472214874682232
1.9	Low volatility	0.12392701124427984
1.9	High volatility	0.08385852717964075
2	Low volatility	0.11414179877552934
2	High volatility	0.08295874179869019
2.1	Low volatility	0.10467851000603269
2.1	High volatility	0.08202415032047695
2.2	Low volatility	0.0955882334581752
2.2	High volatility	0.08105615178602081
2.3	Low volatility	0.08691313638892771
2.3	High volatility	0.080056183081184
2.4	Low volatility	0.07868654790189647
2.4	High volatility	0.07902571539522733
2.5	Low volatility	0.07093321529675815
2.5	High volatility	0.07796625062976227
2.6	Low volatility	0.06366971169100359
2.6	High volatility	0.0768793177703073
2.7	Low volatility	0.05690497066780783
2.7	High volatility	0.07576646923264463
2.8	Low volatility	0.05064092242664972
2.8	High volatility	0.07462927719610742
2.9	Low volatility	0.044873205589997786
2.9	High volatility	0.07346932993581143
3	Low volatility	0.03959192936619932
3	High volatility	0.07228822816567827
3.1	Low volatility	0.034782462075267924
3.1	High volatility	0.07108758140388204
3.2	Low volatility	0.030426223981211732
3.2	High volatility	0.06986900437208927
3.3	Low volatility	0.026501464801337384
3.3	High volatility	0.06863411343955564
3.4	Low volatility	0.02298400903534493
3.4	High volatility	0.06738452312279282
3.5	Low volatility	0.019847955233791778
3.5	High volatility	0.06612184265112987
3.6	Low volatility	0.01706631837437494
3.6	High volatility	0.06484767260806609
3.7	Low volatility	0.014611607516810848
3.7	High volatility	0.06356360165784967
3.8	Low volatility	0.0124563337613432
3.8	High volatility	0.06227120336622294
3.9	Low volatility	0.010573446159860835
3.9	High volatility	0.060972033123750796
4	Low volatility	0.00893669556035863
4	High volatility	0.05966762517960015
4.1	Low volatility	0.007520928363337583
4.1	High volatility	0.05835948979306527
4.2	Low volatility	0.006302313810195531
4.2	High volatility	0.057049110509542575
4.3	Low volatility	0.005258509703551773
4.3	High volatility	0.055737941567049754
4.4	Low volatility	0.004368772387619816
4.4	High volatility	0.05442740543876252
4.5	Low volatility	0.0036140174153306928
4.5	High volatility	0.05311889051641153
4.6	Low volatility	0.002976837629464814
4.6	High volatility	0.051813748938743465
4.7	Low volatility	0.002441485425686013
4.7	High volatility	0.050513294568609896
4.8	Low volatility	0.00199382578804511
4.8	High volatility	0.049218801121605295
4.9	Low volatility	0.0016212663356038452
4.9	High volatility	0.04793150044853779
5	Low volatility	0.00131267013500871
5	High volatility	0.04665258097338349
5.1	Low volatility	0.0010582564584168722
5.1	High volatility	0.04538318628775112
5.2	Low volatility	0.000849494035763683
5.2	High volatility	0.044124413902272244
5.3	Low volatility	0.0006789906970125558
5.3	High volatility	0.04287731415473367
5.4	Low volatility	0.0005403826507088535
5.4	High volatility	0.04164288927418816
5.5	Low volatility	0.0004282260215628747
5.5	High volatility	0.04042209259971669
5.6	Low volatility	0.0003378926884286932
5.6	High volatility	0.039215827951975465
5.7	Low volatility	0.0002654719365757449
5.7	High volatility	0.038024949155142394
5.8	Low volatility	0.00020767897182828238
5.8	High volatility	0.03685025970638617
5.9	Low volatility	0.00016177094242445194
5.9	High volatility	0.0356925125895142
6	Low volatility	0.00012547077759956994
6	High volatility	0.034552410229019
6.1	Low volatility	0.0000968988776820512
6.1	High volatility	0.03343060458033367
6.2	Low volatility	0.00007451247476624172
6.2	High volatility	0.032327697351729655
6.3	Low volatility	0.00005705232034023013
6.3	High volatility	0.031244240352943556
6.4	Low volatility	0.0000434962403445462
6.4	High volatility	0.030180735965305024
6.5	Low volatility	0.00003301902240178896
6.5	High volatility	0.029137637727856353
6.6	Low volatility	0.0000249580577621664
6.6	High volatility	0.028115351033704473
6.7	Low volatility	0.00001878414549767272
6.7	High volatility	0.0271142339306306
6.8	Low volatility	0.00001407687275754239
6.8	High volatility	0.026134598019798526
6.9	Low volatility	0.00001050400717883481
6.9	High volatility	0.02517670944625182
7	Low volatility	0.0000078043712114127
7	High volatility	0.02424078997477197
7.1	Low volatility	0.00000577370924915481
7.1	High volatility	0.02332701814458107
7.2	Low volatility	0.0000042531038305968
7.2	High volatility	0.022435530496317614
7.3	Low volatility	0.00000311954420338396
7.3	High volatility	0.021566422864686578
7.4	Low volatility	0.00000227829725015679
7.4	High volatility	0.02071975173018823
7.5	Low volatility	0.00000165677568241441
7.5	High volatility	0.019895535623360393
7.6	Low volatility	0.00000119964050361226
7.6	High volatility	0.01909375657502645
7.7	Low volatility	0.00000086491337460065
7.7	High volatility	0.018314361606123902
7.8	Low volatility	0.00000062090933424091
7.8	High volatility	0.017557264250795276
7.9	Low volatility	0.00000044383121986226
7.9	High volatility	0.016822346106552293
8	Low volatility	0.00000031589415536785
8	High volatility	0.016109458405474918
8.1	Low volatility	0.00000022387181326552
8.1	High volatility	0.015418423600576504
8.2	Low volatility	0.0000001579760775914
8.2	High volatility	0.014749036961654236
8.3	Low volatility	0.00000011099855356977
8.3	High volatility	0.014101068175147988
8.4	Low volatility	0.00000007765642545227
8.4	High volatility	0.01347426294274927
8.5	Low volatility	0.00000005409679749971
8.5	High volatility	0.012868344573733372
8.6	Low volatility	0.00000003752319404284
8.6	High volatility	0.012283015566230836
8.7	Low volatility	0.00000002591565119285
8.7	High volatility	0.011717959172906333
8.8	Low volatility	0.0000000178220860496
8.8	High volatility	0.011172840946773569
8.9	Low volatility	0.0000000122036299443
8.9	High volatility	0.01064731026314177
9	Low volatility	0.00000000832058012267
9	High volatility	0.010141001813960158
9.1	Low volatility	0.0000000056487488706
9.1	High volatility	0.009653537071102473
9.2	Low volatility	0.00000000381843156515
9.2	High volatility	0.009184525715409751
9.3	Low volatility	0.00000000257011075437
9.3	High volatility	0.008733567028586806
9.4	Low volatility	0.00000000172247429584
9.4	High volatility	0.008300251245324361
9.5	Low volatility	0.00000000114944380514
9.5	High volatility	0.00788416086329235
9.6	Low volatility	0.00000000076375984556
9.6	High volatility	0.007484871908921213
9.7	Low volatility	0.00000000050531243171
9.7	High volatility	0.007101955157153754
9.8	Low volatility	0.00000000033288730062
9.8	High volatility	0.006734977303611143
9.9	Low volatility	0.00000000021835772231
9.9	High volatility	0.006383502087870656
10	Low volatility	0.00000000014261787691
10	High volatility	0.006047091366799636
10.1	Low volatility	0.00000000009274990253
10.1	High volatility	0.0057253061371289665
10.2	Low volatility	0.00000000006006023681
10.2	High volatility	0.0054177075066788585
10.3	Low volatility	0.00000000003872529208
10.3	High volatility	0.005123857613870323
10.4	Low volatility	0.00000000002486202205
10.4	High volatility	0.004843320495365659
10.5	Low volatility	0.00000000001589323394
10.5	High volatility	0.004575662901881118
10.6	Low volatility	0.00000000001011631137
10.6	High volatility	0.004320455062403688
10.7	Low volatility	0.00000000000641159651
10.7	High volatility	0.00407727139722154
10.8	Low volatility	0.00000000000404617127
10.8	High volatility	0.003845691180343603
10.9	Low volatility	0.00000000000254247344
10.9	High volatility	0.003625299152038604
11	Low volatility	0.00000000000159075271
11	High volatility	0.0034156860823664026
11.1	Low volatility	0.00000000000099102133
11.1	High volatility	0.0032164492867058276
11.2	Low volatility	0.00000000000061474841
11.2	High volatility	0.0030271930944026017
11.3	Low volatility	0.00000000000037970464
11.3	High volatility	0.0028475292717687075
11.4	Low volatility	0.00000000000023352237
11.4	High volatility	0.0026770774007612457
11.5	Low volatility	0.000000000000143003
11.5	High volatility	0.0025154652147538602
11.6	Low volatility	0.00000000000008719587
11.6	High volatility	0.002362328892888372
11.7	Low volatility	0.00000000000005293961
11.7	High volatility	0.002217313314557635
11.8	Low volatility	0.00000000000003200366
11.8	High volatility	0.0020800722756241802
11.9	Low volatility	0.00000000000001926427
11.9	High volatility	0.001950268668022471
12	Low volatility	0.00000000000001154622
12	High volatility	0.001827574624426389
12.1	Low volatility	0.00000000000000689066
12.1	High volatility	0.001711671629688351
12.2	Low volatility	0.00000000000000409464
12.2	High volatility	0.0016022506007723173
12.3	Low volatility	0.00000000000000242273
12.3	High volatility	0.001499011936910808
12.4	Low volatility	0.00000000000000142734
12.4	High volatility	0.0014016655417160239
12.5	Low volatility	0.00000000000000083731
12.5	High volatility	0.001309930818967965
12.6	Low volatility	0.00000000000000048908
12.6	High volatility	0.0012235366437884072
12.7	Low volatility	0.00000000000000028445
12.7	High volatility	0.0011422213108893766
12.8	Low volatility	0.00000000000000016473
12.8	High volatility	0.0010657324615587296
12.9	Low volatility	0.00000000000000009499
12.9	High volatility	0.0009938269910141743
13	Low volatility	0.00000000000000005454
13	High volatility	0.0009262709377210351
13.1	Low volatility	0.00000000000000003118
13.1	High volatility	0.0008628393562287053
13.2	Low volatility	0.00000000000000001775
13.2	High volatility	0.0008033161750366303
13.3	Low volatility	0.00000000000000001006
13.3	High volatility	0.0007474940409531586
13.4	Low volatility	0.00000000000000000568
13.4	High volatility	0.0006951741513602268
13.5	Low volatility	0.00000000000000000319
13.5	High volatility	0.0006461660757440192
13.6	Low volatility	0.00000000000000000179
13.6	High volatility	0.0006002875677968447
13.7	Low volatility	0.00000000000000000099
13.7	High volatility	0.0005573643693389725
13.8	Low volatility	0.00000000000000000055
13.8	High volatility	0.0005172300072513623
13.9	Low volatility	0.0000000000000000003
13.9	High volatility	0.00047972558455156337
14	Low volatility	0.00000000000000000017
14	High volatility	0.0004446995666857679
14.1	Low volatility	0.00000000000000000009
14.1	High volatility	0.00041200756405054985
14.2	Low volatility	0.00000000000000000005
14.2	High volatility	0.00038151211169835025
14.3	Low volatility	0.00000000000000000003
14.3	High volatility	0.0003530824471216583
14.4	Low volatility	0.00000000000000000001
14.4	High volatility	0.0003265942869523161
14.5	Low volatility	0.00000000000000000001
14.5	High volatility	0.00030192960335463133
14.6	Low volatility	0
14.6	High volatility	0.0002789764008343083
14.7	Low volatility	0
14.7	High volatility	0.00025762849412970415
14.8	Low volatility	0
14.8	High volatility	0.000237785287797838
14.9	Low volatility	0.00000000000000000001
14.9	High volatility	0.0002193515580549869
15	Low volatility	0
15	High volatility	0.0002022372373808241

These Gaussian distributions use parameters fitted to the training period. The narrow curve concentrates on small daily moves; the wider curve allows larger moves in either direction. They show fitted distributions, rather than a histogram of observed returns.

Daily return = 100 × ln(today’s close ÷ yesterday’s close). The model estimates each state’s mean return, variance and next-day transition probabilities. Each new daily return then updates the estimated probability of each state.

Both fitted states have mean returns close to zero. Their main difference is volatility, which gives them their names: low and high volatility. The high-volatility state includes large gains and losses, so its probability alone gives no buy or sell direction.

Training period: Jan 2, 2022–Jun 30, 2026, with 1641 daily returns. Holdout period: Jul 1–Sep 13, 2026, with 75 days. Weekends are included; incomplete UTC daily candles are excluded.

State	Mean daily return (%)	Daily return SD (%)	Next-day persistence (%)	Expected duration (days)
Low volatility	0.0356	1.5256	83.1646	5.9399
High volatility	-0.0407	4.2958	61.0029	2.5643

04 / State persistence and transitions

The transition matrix shows the conditional probability of staying in a state or switching the next day. Diagonal cells indicate persistence; off-diagonal cells indicate a switch. These estimates describe persistence in the training sample.

Daily state transition probabilities data

Daily state transition probabilities — data
Current state	Next-day state	Probability
Low volatility	Low volatility	83.1646
Low volatility	High volatility	16.8354
High volatility	Low volatility	38.9971
High volatility	High volatility	61.0029

Expected duration is 1 ÷ (1 − the probability of staying in the same state), assuming constant transition probabilities. Actual episodes can be shorter or longer. Elapsed days cannot simply be subtracted from this expectation to estimate the time remaining.

05 / Sensitivity to the number of states

Adding a state changes the classification boundaries. The three-state model has a lower training BIC; the two-state model has a slightly higher mean predictive log score over this holdout period. These differences do not establish a consistently better model.

Current probabilities: three-state model data

Current probabilities: three-state model — data
State	Probability
Medium volatility	39.11
Low volatility	59.62
High volatility	1.27

Model	Training BIC	Holdout mean log score
2 states	7597.52	-1.9836
3 states	7591.23	-1.9880

Lower BIC and higher mean predictive log scores are better. The log score evaluates the density assigned to observed returns, rather than directional accuracy. The three-state model defines a narrower low-volatility state, so subtracting its probability from the two-state estimate would not measure a change in confidence.

Both models currently assign most of their probability to their lower-volatility states. They broadly agree that recent large daily moves have eased. The precise state and probability still depend on how finely the model divides the market and on its assumptions.

Scope and sources

This report presents a reproducible method for identifying volatility regimes. Constant transition probabilities and Gaussian returns are simplifying assumptions; extreme moves, changes in market structure and day-of-week effects may affect the results. ETF flows, derivatives leverage and macroeconomic variables are outside the model. The analysis does not establish what caused market moves or validate a profitable trading strategy.

Reproducibility details

Data: Binance Spot BTCUSDT daily candles. Model: statsmodels 0.15.0 MarkovRegression, with switching means and variances. Each two-state and three-state specification uses three random seeds and multiple starting values; the converged fit with the highest likelihood is retained. Probabilities are filtered with training parameters held fixed. Out-of-sample scores use daily conditional log likelihoods. Data and computed results are frozen for this edition.

Price data: Binance Spot Klines · Method: statsmodels MarkovRegression. Retrieved Sep 14, 2026 UTC. BTC/USDT is a stablecoin-denominated quote from a single exchange.

OWL Compose · Data and methodology · September 2026