Badescu, Alex; Kulperger, Reg; Lazar, Emese - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 2, pp. 1580-1580
The class of mixture GARCH models introduced by Haas, Mittnik and Paollela (2004) and Alexander and Lazar (2006 …) provides a better alternative for fitting financial data than various other GARCH models driven by the normal or skewed t … asymmetric normal mixture GARCH model with K volatility components. Since under GARCH models the market is incomplete there are …
