S. Gray, “Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process,” Journal of Financial Economics, Vol. 42, No. 1, 1996, pp. 27-62. doi:10.1016/0304-405X(96)00875-6

has been cited by the following article:

• TITLE: Forecasting Volatility of Gold Price Using Markov Regime Switching and Trading Strategy

  AUTHORS: Nop Sopipan, Pairote Sattayatham, Bhusana Premanode

  KEYWORDS: Forecasting; Volatility; Gold Price; Markov Regime Switching

  JOURNAL NAME: Journal of Mathematical Finance, Vol.2 No.1, February 28, 2012

  ABSTRACT: In this paper, we forecast the volatility of gold prices using 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 MRS-GARCH models are an improvement on the GARCH type models in terms of modeling and forecasting gold price volatility. The MRS-GARCH is best performance model for gold price volatility in some loss function. Moreover, we forecast closing prices of gold price to trade future contract. MRS-GARCH got the most cumulative return same GJR model.