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Modeling Stock Return Data using Asymmetric Volatility Models : A Performance Comparison based on the Akaike Information Criterion and Schwarz Criterion Setiawan, E; Herawati, N; Nisa, K
Journal of Engineering and Scientific Research Vol 1, No 1: (June, 2019)
Publisher : University of Lampung

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23960/jesr.v1i1.9


The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) modelhas been widely used in time series forecasting especially with asymmetricvolatility data. As the generalization of autoregressive conditionalheteroscedasticity model, GARCH is known to be more flexible to lag structures.Some enhancements of GARCH models were introduced in literatures, among themare Exponential GARCH (EGARCH), Threshold GARCH (TGARCH) andAsymmetric Power GARCH (APGARCH) models. This paper aims to compare theperformance of the three enhancements of the asymmetric volatility models bymeans of applying the three models to estimate real daily stock return volatilitydata. The presence of leverage effects in empirical series is investigated. Based onthe value of Akaike information and Schwarz criterions, the result showed that thebest forecasting model for daily stock return data is the APARCH model.Keywords: Volatility, GARCH, TGARCH, EGARCH, APARCH, AIC and SC.