extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models … such as Generalized Autoregressive Conditional Heteroskedastic (GARCH), Generalized Autoregressive Score (GAS), and … inclusion of exogenous variables is beneficial for GARCH-type models while offering only a marginal improvement for GAS and SV …

results of the model's forecasting performance suggest that this model can be a useful analytical tool in the process of … to MAKPAM and enriches the set of tools for forecasting and monetary policy analysis in NBRM. In this paper we highlight …