“…To solve this Hamilton (1985Hamilton ( , 1989) proposed Markov Regime-Switching (MRS) models to allow for parameters to transit between state spaces. Recently, many studies have incorporated MRS specification into GARCH framework known as MRS-GARCH models (e.g., Gao et al, 2018;Naeem et al, 2019;Shi & Feng, 2016;Zhang et al, 2019;Zolfaghari & Sahabi, 2017). These models have been extensively examined on stock markets (e.g., Abounoori et al, 2016;Shi & Feng, 2016;Zhipeng & Shenghong, 2018).…”