their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson … best models are the ones that can accommodate a leverage effect. Results from fitting the selected exponential GARCH model …

by ARCH models. The volatility is measured by a linear GARCH and an EGARCH process. Our results suggests that EGARCH … provides better estimates than a linear standard GARCH model. The EGARCH also can capture most of the asymmetry, supporting the …

using both return and volatility equations, empirically applying GARCH (p,q) models. The unique data set we utilized was …. Thirdly, we estimated the relative efficiency of GK, YZ, RS and PK by applying GARCH (p,q) models. The results are quite …

index, the study employed a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model. For the purpose of the … study, a GARCH (1,1) model with a dummy variable was developed. The results show that index warrant trading did not lead to …