This paper investigates the relative performance of the asymmetric normal mixture generalized autoregressive conditional heteroskedasticity (NM-GARCH) and the benchmarked GARCH models with the daily stock market returns of the Johannesburg Stock Exchange, South Africa. The predictive performance...

We employ duration-dependent Markov-switching vector auto-regression (DDMSVAR) methodology to construct an economic cycle model for an emerging economy. By modifying the software codes for DDMSVAR methodology written by Pelagatti (2003), we show how to estimate the economic cycles in an emerging...