In the present work, GARCH models are incorporated in a regime- switching framework that
allows to take into account the existence of two different volatility regimes which characterized
by a different level of volatility. In both regimes volatility follows a GARCH-like pattern since
GARCH models typically show high volatility persistence. To take into account the excessive
persistence usually found in GARCH models that implies too smooth and too high volatility
forecasts, Markov Regime- Switching GARCH (MRS-GARCH) models where the parameters
are allowed to switch between a low and a high volatility regime, are used.