Evaluating Switching GARCH Volatility Forecasts During the Recent Financial Crisis
Forecasting volatility is a fundamental topic in in both academic and applied financial economics. Different GARCH-specifications are by far the most popular model based approach used for this purpose. This thesis evaluates the forecast accuracy of some specific GARCH-models; GARCH, EGARCH, APGARCH and MRS-GARCH. The primary purpose of the essay is to investigate whether the more flexible two-regi