most citedMarkov Switching Component ARCH Model: Stability and Forecasting

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math.ST2016

Markov Switching Smooth Transition GARCH Model

N. AleMohammad, S. Rezakhah, H. Hoseinalizadeh

A Markov switching asymmetric GARCH model which imposes more leverage effect of the negative shocks is considered. The asymptotic behavior of the second moment is investigated and…