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 … asymmetric GARCH models with normal and fat-tailed distributions for the innovations, over short and long forecast horizons. The … index are analyzed. The empirical results demonstrate that the use of asymmetry in the GARCH models and the assumption of …