Improving GARCH volatility forecasts with regime-switching GARCH
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KeywordsGARCH; Markov-switching; variance; forecasting; exchange rates;
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- F31 - International Economics - - International Finance - - - Foreign Exchange
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