Rombouts, Jeroen V. K.; Stentoft, Lars - 2009
maturity
categories, it is observed that our model does a much better job than the GARCH model
in explaining the smirk found in … classical GARCH model which arises when
K = 1. For example, the skewness of the conditional distribution of returns would be … problem
as would be the case in a Markov switching GARCH model. Note that to have an overall
variance process that is weakly …