@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},