Pasha, G.R.; Qasim, Tahira; Aslam, Muhammad - In: Lahore Journal of Economics 12 (2007) 2, pp. 115-149
In this paper we compare the performance of different GARCH models such as GARCH, EGARCH,GJR and APARCH models, to characterize and forecast financial time series volatility in Pakistan. The comparison is carried out by comparing symmetric and asymmetric GARCH models with normal and fat-tailed...