Forecasting Volatility and Price of the SET50 Index Using the Markov Regime Switching

In this paper, we forecast the volatility and price of SET50 Index using the Markov Regime Switching GARCH (MRS-GARCH) models. These models allow volatility to have different dynamics according to unobserved regime variables. The main purpose of this paper is to find out whether the MRS-GARCH models are an improvement on the GARCH type models in terms of modeling and forecast volatility and price of the SET50 Index. The MRS-GARCH under the GED distribution is best performance model for the SET50 Index volatility. Moreover, we forecast closing price of SET50 Index, we found the MRS-GARCH under t-distribution with two degree of freedoms model is perform best.