Private militias are illegal in the U.S.. Only state-run militias like the national guard are legal. If you can find a statute stating otherwise, please link.
The 2nd amendment is referring to state government.
Some history:
The Founding Fathers feared a federal leader becoming a dictator or monarchy. Remember they had recently fought a war to free themselves from a monarchy, therefore their main concern was to avoid another. They didn't want a national leader outlawing the states from having their own military and occupying the states with a federal military like King George did in the colonies with his redcoats.
"A well-regulated Militia, being necessary to the security of a free State..."
In plain English, each state can protect itself from a dictator by maintaining its own state's military (well-regulated = state-run)
“...the right of the people to keep and bear Arms...”
People is referring to the collective whole. In other words, state government. Arms is not guns, but all war weapons including cannons, bombs, etc. "Keep and bear" is to have and carry. In plain English, state government has a right to have and carry military weaponry to keep itself free from a potential dictator.
"... shall not be infringed."
"Infringed" signifies collectively or a public right. Again, state government.
If they meant individual or a private right, then they would have used the term "abridged" like they did in the 1st amendment when referring to individual's right to freedom of speech..
Infringed and abridged are not interchangeable.
The Constitution is a legal document. Terminology is everything which is the reason the Constitution should be read as a whole, in context and with an understanding of history at that time.
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