most citedForecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?

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econ.GN2015★ 5 cited

Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?

Yue-Jun Zhang, Ting Yao, Ling-Yun He

In order to obtain a reasonable and reliable forecast method for crude oil price volatility, this paper evaluates the forecast performance of single-regime GARCH models (including…