Physical Sciences and Mathematics Commons^™

Evaluating The Volatility Forecasting Performance Of Best Fitting Garch Models In Emerging Asian Stock Markets, Chaiwat Kosapattarapim, Yan-Xia Lin, Michael Mccrae

Faculty of Informatics - Papers (Archive)

While modeling the volatility of returns is essential for many areas of finance, it is well known that financial return series exhibit many non-normal characteristics that cannot be captured by the standard GARCH model with a normal error distribution. But which GARCH model and which error distribution to use is still open to question, especially where the model that best fits the in-sample data may not give the most effective out-of-sample volatility forecasting ability. Approach: In this study, six simulated studies in GARCH(p,q) with six different error distributions are carried out. In each case, we determine the best fitting GARCH …