  We introduce a new mixture autoregressive model which combines Gaussian and
Student's $t$ mixture components. The model has very attractive properties
analogous to the Gaussian and Student's $t$ mixture autoregressive models, but
it is more flexible as it enables to model series which consist of both
conditionally homoscedastic Gaussian regimes and conditionally heteroscedastic
Student's $t$ regimes. The usefulness of our model is demonstrated in an
empirical application to the monthly U.S. interest rate spread between the
3-month Treasury bill rate and the effective federal funds rate.
