Cleaning data or removing some data periods in least squares (LS) regression analysis is not unusual. This practice indicates that a researcher sometimes desires to estimate the parameter value, with which the regression function fits a large fraction of individuals or events in the population...

We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric ergodicity and existence of moments of the process....