In this paper we examine the forecasting performance of five nonlinear GARCH(1,1) models. Four of these have recently been proposed in literature, while the fifth model is a new one. All five models allow for switching persistence of shocks, depending on the value and/or sign of recent returns. We consider the models for weekly data on 5 major stock markets. Our results indicate that all models improve upon the linear GARCH(1,1) model and that our new model sometimes yields favorable forecasting results.

Additional Metadata
Keywords GARCH models, volatility
Persistent URL hdl.handle.net/1765/1553
Series Econometric Institute Research Papers
Citation
Franses, Ph.H.B.F, Neele, J, & van Dijk, D.J.C. (1998). Forecasting volatility with switching persistence GARCH models (No. EI 9819). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/1553