Modelling and forecasting volatility of East Asian Newly Industrialized Countries and Japan stock markets with non-linear models

Francesco Guidi

MPRA Paper from University Library of Munich, Germany

Abstract: This paper explores the forecasting performances of several non-linear models, namely GARCH, EGARCH, APARCH used with three distributions, namely the Gaussian normal, the Student-t and Generalized Error Distribution (GED). In order to evaluate the performance of the competing models we used the standard loss functions that is the Root Mean Squared Error, Mean Absolute Error, Mean Absolute Percentage Error and the Theil Inequality Coefficient. Our result show that the asymmetric GARCH family models are generally the best for forecasting NICs indices. We also find that both Root Mean Squared Error and Mean Absolute Error forecast statistic measures tend to choose models that were estimated assuming the normal distribution, while the other two remaining forecast measures privilege models with t-student and GED distribution.

Keywords: GARCH; Volatility forecasting; forecast evaluation. (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2010-01
New Economics Papers: this item is included in nep-fmk, nep-for and nep-sea
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:19851

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