Blazsek, Szabolcs; Downarowicz, Anna - In: The European Journal of Finance 19 (2013) 4, pp. 243-275
The article addresses forecasting volatility of hedge fund (HF) returns by using a non-linear Markov-Switching GARCH (MS-GARCH) framework. The in- and out-of-sample, multi-step ahead volatility forecasting performance of GARCH(1,1) and MS-GARCH(1,1) models is compared when applied to 12 global...