This article focuses on the asset price volatility at the stock exchange that result from the regime switching … behaviour in the market. This study is devoted to the question about how the asset price volatility affects the US sovereign … Regime-Switching ARCH (SWARCH) model to analyse data. The results show that there is high volatility regime in both the 2012 …

, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments … implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors …