Purpose: This paper aims to propose a novel model to forecast regime switches in a time series to assist decision making. Design/methodology/approach: The authors apply the clustering technique to group the data into five states. Then, a model is proposed to formulate the relationships from...

Purpose – The purpose of this paper is to propose an occurrence-based model to improve the forecasting of regime switches so as to assist decision making. Design/methodology/approach – This paper proposes a novel model where occurrences of relationships are taken into account when...