@article{(Open Science Index):https://publications.waset.org/pdf/9998245, title = {Volatility Model with Markov Regime Switching to Forecast Baht/USD}, author = {N. Sopipan and A. Intarasit and K. Chuarkham}, country = {}, institution = {}, abstract = { In this paper, we forecast the volatility of Baht/USDs using Markov Regime Switching GARCH (MRS-GARCH) models. These models allow volatility to have different dynamics according to unobserved regime variables. The main purpose of this paper is to find out whether MRS-GARCH models are an improvement on the GARCH type models in terms of modeling and forecasting Baht/USD volatility. The MRS-GARCH is the best performance model for Baht/USD volatility in short term but the GARCH model is best perform for long term. }, journal = {International Journal of Mathematical and Computational Sciences}, volume = {8}, number = {5}, year = {2014}, pages = {776 - 781}, ee = {https://publications.waset.org/pdf/9998245}, url = {https://publications.waset.org/vol/89}, bibsource = {https://publications.waset.org/}, issn = {eISSN: 1307-6892}, publisher = {World Academy of Science, Engineering and Technology}, index = {Open Science Index 89, 2014}, }