In this article a multiple regime extension for the Heston-Nandi GARCH(1,1) model is presented to describe the asymmetries and intermittent dynamics in financial volatility. The statistical properties and the estimation of their parameters are addressed in detail. The number of regimes in the...

In the standard approach to fund valuation, it is often assumed that markets are perfectly liquid and hence assets have unique prices. In practice, however, as has been widely documented, this is not the case. Asset values are impacted by deterioration of market liquidity (market depth)....