In the context of a continually changing and reforming financial market, stock market volatility plays a vital role in … indicating macroeconomic environment changes, market participants' expectation and interaction mechanism. Market volatility …, methodologies and intentions have led to heterogeneous volatility models, making volatility forecasting a controversial topic. This …

Modelling volatility has become increasingly important in recent times for its diverse implications. The main purpose … of this paper is to examine the performance of volatility modelling using different models and their forecasting accuracy … TGARCH (1,1), APARCH (1,1) and EGARCH (1,1) models shows that negative shocks or bad news create more volatility than …