Thalassinos, Eleftherios I.; Ugurlu, Erginbay; … - In: Applied Economics and Finance 2 (2015) 1, pp. 11-18
same models, GARCH, GJR-GARCH and EGARCH comparing their forecasting performance. The results show that return volatility … all models for the full sample period using static forecasts. After comparing the forecasting performance of all nine … models it was found that the EGARCH model has the best forecasting performance compared to others. JEL classification: G15, G …