Bauwens, Luc (contributor); Preminger, Arie (contributor); … - 2007
conditional
mean and variance switch in time from one GARCH process to another. The switching
is governed by a hidden Markov chain … explosive.
Concerning the estimation method, we propose a Bayesian Markov chain Monte Carlo
(MCMC) algorithm that circumvents … regime accommodates volatility clustering,
nesting the GARCH model as special case. Let fstg be an ergodic Markov chain on a …