%0 Journal Article
	%A N. Sopipan and  A. Intarasit and  K. Chuarkham
	%D 2014
	%J International Journal of Mathematical and Computational Sciences
	%B World Academy of Science, Engineering and Technology
	%I Open Science Index 89, 2014
	%T Volatility Model with Markov Regime Switching to Forecast Baht/USD
	%U https://publications.waset.org/pdf/9998245
	%V 89
	%X  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.

	%P 776 - 781