Comparison of forecasting performance of long memory GARCH models and Markov switching GARCH models

It is well known that structural change or stochastic regime switching and long memory are intimately related concepts . In an emprical study the forecasting performance of the long memory GARCH models and Markov switching GARCH model are compared using Tehran stock market returns. The results indicate that in out of sample performance, long memory exponential GARCH (FIEGARCH) model outperforms the competing models