Forecasting Egyptian Stock Market Volatility with Markov Regime Switching GARCH Models | ||||
| The Egyptian Statistical Journal | ||||
| Article 4, Volume 56, Issue 1, June 2012, Page 38-51 | ||||
| Document Type: Original Article | ||||
| DOI: 10.21608/esju.2012.314328 | ||||
 View on SCiNiTO | ||||
| Abstract | ||||
| In the present work, GARCH models are incorporated in a regime- switching framework that allows to take into account the existence of two different volatility regimes which characterized by a different level of volatility. In both regimes volatility follows a GARCH-like pattern since GARCH models typically show high volatility persistence. To take into account the excessive persistence usually found in GARCH models that implies too smooth and too high volatility forecasts, Markov Regime- Switching GARCH (MRS-GARCH) models where the parameters are allowed to switch between a low and a high volatility regime, are used. | ||||
| Keywords | ||||
| Volatility; Forecasting - Markov Regime-Switching GARCH | ||||
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