A multiple regime extension to the Heston–Nandi GARCH(1,1) model
In this article a multiple regime extension of a Heston–Nandi GARCH(1,1) class of models 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 model is determined through a statistical procedure based on a robust Lagrange Multiplier (LM) specification.