Bucevska, Vesna - In: Business Systems Research 4 (2013) 1, pp. 49-64
paper has two main purposes. The first is to test the relative performance of selected GARCH-type models in terms of their … index-MBI 10, we have tested the performance of the symmetric GARCH (1,1) and the GARCH-M model as well as of the asymmetric … EGARCH (1,1) model, the GARCH-GJR model and the APARCH (1,1) model with different residual distributions. Results: The most …