Peng, Cheng; Kim, Young Shin; Mittnik, Stefan - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-23
contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation … (MRS-MNTS-GARCH) to accommodate fat tails, volatility clustering and regime switch. The volatility of each asset … independently follows the regime-switch GARCH model, while the correlation of joint innovation of the GARCH models follows the …