%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