Bauwens, Luc (contributor); Preminger, Arie (contributor); … - 2007
) and Cai (1994) introduce an ARCH model with Markov-switching parameters in order
to take into account sudden changes in … (2001) establish the consistency of the ML
estimator. Bayesian estimation of a Markov switching ARCH model where only the … models using the estimation sample. The estimated models include the two-regime
MS-ARCH model deflned by setting fl1 = fl2 …