forecasting the volatility of Tehran stock market in some horizon of forecasting. This paper provides an analysis of regime … switching in volatility and out-of-sample forecasting of the IRAN using daily data for the period 1995-2011. We first model … volatility regime switching within a univariate Markov-Switching framework. Then We provide out-of-sample forecasts of the TEHRAN …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …