A decade has passed since the Asian Financial Crisis (AFC) in 1997, and attention is drawn to the output performance of the crisis-affected economies in East Asia. Using the Hodrick-Prescott filter, this paper examines the growth volatility of GDP, its components and the stock market of five...

This article provides the in-sample estimation and evaluates the out-of-sample conditional mean and volatility forecast performance of the conventional Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Asymmetric Power Autoregressive Conditional Heteroscedasticity (APARCH) and...