This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH …, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock … price indexes. Forecasts produced by each non-linear GARCH model and each index are evaluated using a common set of …

This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models … such as Generalized Autoregressive Conditional Heteroskedastic (GARCH), Generalized Autoregressive Score (GAS), and …