Estimating and Forecasting Volatility of Financial Time Series in Pakistan with GARCH-type Models

In this paper we compare the performance of different GARCH models such as GARCH, EGARCH, GJR and APARCH models, to characterize and forecast financial time series volatility in Pakistan. The comparison is carried out by comparing symmetric and asymmetric GARCH models with normal and fat-tailed dis...

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Bibliographic Details

Published in:	Lahore Journal of Economics
Main Authors:	G.R. Pasha, Tahira Qasim, Muhammad Aslam
Format:	Article
Language:	English
Published:	Lahore School of Economics 2024-07-01
Subjects:	APARCH EGARCH Fat-tailed distribution Forecast Forecast horizon GARCH
Online Access:	https://journals.lahoreschool.edu.pk/LJE/LJE/article/view/238