dynamics adapts to the non-normal nature of financial data, which helps to robustify the volatility estimates. The new model … volatility forecasting of stock returns and exchange rates. …

The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …