Volatility modeling for forecasting stock index with fixed parameter distributional assumptionVolatility modeling for forecasting stock index with fixed parameter distributional assumption

The aim of this paper is to empirically investigate the in sample and out of sample forecasting performance of several GARCH-type models such as GARCH, EGARCH and APARCH model with Gaussian, student-t, Generalized error distribution (GED), student-t with fixed DOF 10 and GED with fixed parameter 1.5 distributional assumption in case of Colombo Stock Exchange (CSE), Sri Lanka. The daily All Share Price Index (ASPI) of CSE from January 02, 1998 to December 29, 2006 for a total number of 2150 observations is used for empirical analysis. We consider first 1950 observations for in sample estimation and last 200 observations for out of sample forecasting evaluation.
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Volatility modeling for forecasting stock index with fixed parameter distributional assumptionVolatility modeling for forecasting stock index with fixed parameter distributional assumption