Skip navigation
Skip navigation

A discussion on the innovation distribution of the Markov regime-switching GARCH model

Shi, Yanlin; Feng, Lingbing


The Markov Regime-Switching Generalized autoregressive conditional heteroskedastic (MRS-GARCH) model is a widely used approach to model the financial volatility with potential structural breaks. The original innovation of the MRS-GARCH model is assumed to follow the Normal distribution, which cannot accommodate fat-tailed properties commonly existing in financial time series. Many existing studies point out that this problem can lead to inconsistent estimates. To overcome it, the Student's...[Show more]

CollectionsANU Research Publications
Date published: 2016
Type: Journal article
Source: Economic Modelling
DOI: 10.1016/j.econmod.2015.11.018


File Description SizeFormat Image
01_Shi_A_discussion_on_the_innovation_2016.pdf626.94 kBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator