Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model

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Forecasting the realized volatility of the oil futures market: A regime switching approach (2017, result): “Similar to the existing studies, such as Bekaert et al. (2015), Goldman et al. (2013), Ma et al. (2015), Raggi and Bordignon (2012), Shi and Ho (2015), and Wang et al. (2016), we also consider two regimes: low volatility regime and high volatility regime.”