Storti, Giuseppe; Bauwens, Luc - Society for Computational Economics - SCE - 2006
highly dependent on the magnitude of shocks themselves. Markov-Switching GARCH (MS-GARCH) models are a valuable tool for … dynamics, it is here suggested to use a modification of the component GARCH model proposed by Ding and Granger (1996) in which … lagged values of the conditional standard deviation. Differently from MS-GARCH models, likelihood based inference for the …