parsimony and robustness. APS is applied within a Bayesian analysis of a GARCH-mixture model which is used for the evaluation of …

We present a novel GARCH model that accounts for time varying, state dependent, persistence in the volatility dynamics …. The proposed model generalizes the component GARCH model of Ding and Granger (1996). The volatility is modelled as a … convex combination of unobserved GARCH components where the combination weights are time varying as a function of …