Evaluating the Volatility Forecasting Performance of Best Fitting GARCH Models in Emerging Asian Stock Markets
The empirical application to stock markets also indicates that a non normal error distribution tends to improve the volatility forecast of returns. Conclusion : The volatility forecast estimates of the best fitted model can be reliably used for volatility forecasting. Moreover, the empirical studies demonstrate that a skewed error distribution outperforms other error distributions in terms of out-of-sample volatility forecasting.
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