The dynamics of financial volatility shows a behavior characterized by alternating periods of turbulence and relative quiet. We suggest modelling it as a mixture memory model where time-varying mixing weights are a function of some forcing variable capable of sudden changes. In choosing a mixture approach we rely on previous evidence on the presence of a short-and a long-memory component in the observed series. We apply our model to the main Spanish stock index (IBEX) using the spread between

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... e sovereign national and German bond rates as the forcing variable. The results show a good performance in sample, pointing to the fact that fixed weights may be a limitation to an accurate description of volatility behavior.