Zhang, Zheng; Raza, Muhammad Yousaf; Wang, Wenxue; Sui, Lu - 2023
volatility index (OVX), GARCH and Stochastic Volatility Models are employed to investigate the forecasting performance. The daily … in 2014, the coronavirus pandemic, and the Russian-Ukraine war. GARCH-type models are employed to test the leverage … pandemic and the Russian-Ukraine War. Among the six loss functions, the GJR-GARCH model outperforms its competitors in five of …