Tree‐structured generalized autoregressive conditional heteroscedastic models

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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries (2008, methodology): “More recently, based on the regression tree literature, Audrino and Bühlmann (2001) proposed the Tree Structured GARCH model to describe multiple limiting regimes in volatility.”
MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL (2009, methodology): “More recently, based on the regression-tree literature, Audrino and Bühlmann (2001) proposed the tree-structured GARCH model to describe multiple limiting regimes in volatility.1 In this paper we contribute to the literature by proposing a new flexible nonlinear GARCH model with multiple limiting…”
An Introduction to Univariate GARCH Models (2006, methodology): “A practical problem is that the tree-growing strategy of Audrino and Bühlmann (2001) does not seem to prevent underidentication: if K is chosen too large, (22) is not identied. A similar problem is present in the DTARCH model as well as in the STGARCH one. Hagerud (1997) and Gonzalez-Rivera (1998)”