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The author deals with three types of Markov switching models, namely (MS I) \\(y_t=\\mu_{S_t} +\\sigma_{S_t}\\varepsilon_t\\), (MS II) \\(y_t=\\mu_{S_t} +\\varphi_1(y_{t-1}-\\mu_{S_{t-1}})+\\sigma_{S_t}\\varepsilon_t\\) with \\(|\\varphi_1|<1\\), and (MS III) \\(y_t =\\mu_{S_t} +\\varphi_{1S_{t-1}}(y_{t-1} -\\mu_{S_{t-1}}) +\\sigma_{S_t}\\varepsilon_t\\) with \\(|\\varphi_{1S_{t-1}}|<1\\). In some cases it is assumed that \\(k=2\\). Central moments \\(E(y_t-Ey_t)^n\\), covariance function of \\(y_t\\), and covariance function of \\(y_t^2\\) are calculated for all three models. 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