An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic...

In a recent paper, Liu [Liu, J.-C., 2007. Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process. Statistics and Probability Letters 77, 1428-1438] proposed a generalization of the Markov-switching GARCH model of Haas et al. [Haas, M., Mittnik, S., Paolella, M.S.,...

Both unconditional mixed normal distributions and GARCH models with fat-tailed conditional distributions have been employed in the literature for modeling financial data. We consider a mixed normal distribution coupled with a GARCH-type structure (termed MN-GARCH) which allows for conditional...

The use of Markov-switching models to capture the volatility dynamics of financial time series has grown considerably during past years, in part because they give rise to a plausible interpretation of nonlinearities. Nevertheless, GARCH-type models remain ubiquitous in order to allow for...