Chuang, I.-Yuan; Lu, Jin-Ray; Lee, Pei-Hsuan - In: Applied Financial Economics 17 (2007) 13, pp. 1051-1060
This article analyses the volatility forecasting performance of the GARCH models based on various distributional assumptions in the context of stock market indices and exchange rate returns. Using rollover methods to construct the out-of-the-sample volatility forecasts, this study shows that the...