This paper estimates and evaluates the forecasting performance of four alternative ARCH- type Models for predicting stock price index volatility using daily Egyptian data. The competing Models include GARCH, EGARCH, GJR and APAPCH used with four different distributions, Gaussian normal,...

This paper estimates and evaluates the forecasting performance of four alternative ARCH-type Models for predicting stock price index volatility using daily Egyptian data. The competing Models include GARCH, EGARCH, GJR and APAPCH used with four different distributions, Gaussian normal,...