BAUWENS, Luc; PREMINGER, Arie; ROMBOUTS, Jeroen V.K. - Center for Operations Research and Econometrics (CORE), … - 2007
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....