标题： 马尔可夫切换平滑转换GARCH模型 显示英文标题

标题： Markov Switching Smooth Transition GARCH Model

摘要： 考虑了一个马尔可夫切换非对称GARCH模型，该模型施加了负冲击更大的杠杆效应。 研究了二阶矩的渐近行为，并计算了其上界。 使用通过吉布斯和格迪吉布斯抽样进行的贝叶斯策略来估计参数。 最后，我们通过两个实际数据集研究了该模型的性能。 我们证明，通过DIC指标，该模型具有最佳的样本内拟合效果，并且当负偏度足够大时，能提供更好的预测。 显示英文摘要

摘要： A Markov switching asymmetric GARCH model which imposes more leverage effect of the negative shocks is considered. The asymptotic behavior of the second moment is investigated and an upper bound for it is calculated. A bayesian strategy through Gibbs and griddy Gibbs sampling is used to estimate the parameters. Finally we study the performance of the model by two real data sets. We show that this model has the best in-sample fit via DIC and provides a better forecast when the negative skewness is large enough.