Héctor Melchor Alaiz - SIBE - MEFF - Clearing

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𝗢𝗻𝗲 𝗯𝗮𝗱 𝗱𝗮𝘆 𝗺𝗼𝘃𝗲𝗱 𝘀𝘁𝗿𝗲𝘀𝘀 𝗼𝗱𝗱𝘀 𝗳𝗿𝗼𝗺 𝟮𝟬% 𝘁𝗼 𝟴𝟵% A rolling 60-day volatility estimate barely twitched on the same print. That speed gap is the entire case for filtering. Two Gaussians and a transition matrix reproduce what textbooks call anomalous: fat tails, negative skew, volatility clustering. Calm state: mean +0.05% daily, vol 0.8%. Stress state: mean -0.10%, vol 2.0%. Stay-probabilities of 0.98 and 0.90 give 𝗰𝗮𝗹𝗺 𝘀𝗽𝗲𝗹𝗹𝘀 𝗼𝗳 𝟱𝟬 𝗱𝗮𝘆𝘀 and stress spells of 10. Then …

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