#2497. Markov Switching Garch Models: Higher Order Moments, Kurtosis Measures, and Volatility Evaluation in Recessions and Pandemic

October 2026publication date
Proposal available till 30-05-2025
5 total number of authors per manuscript4030 $

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Journal’s subject area:
Social Sciences (miscellaneous);
Statistics and Probability;
Statistics, Probability and Uncertainty;
Economics and Econometrics;
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Abstract:
The article uses accurate matrix formulas in a closed form to calculate the higher-order moments and kurtosis of one-dimensional GARCH models with Markov switching. Then, an asymptotic theory is proposed for sample estimates of the moments and kurtosis of higher orders that can be used to test for normality. The theoretical statements are also verified numerically using Monte Carlo simulations. The theoretical results are used to recognize different periods of high volatility that cause stress in the stock markets, such as a financial crisis and a pandemic.
Keywords:
Geometric ergodicity; Higher order moments; Kurtosis measures; Markov switching; Testing for normality; Volatility indices

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