structural breaks. To that end, I perform a large-scale empirical study to compare the forecasting performance of single …–regime and Markov-switching GARCH (MSGARCH) models, from a risk management perspective. I find that, for daily, weekly, and ten … design for forecasting purposes in a high-dimensional context. I apply the new methodology to the forecasting of the US …

the financial industry, as well as Brent crude oil prices, to estimate a two-stage GARCH (1,1) to capture the effects of … temporal dependence in oil prices volatility on financial industry firms’ returns. The GARCH model is complemented by Granger …