GJR-GARCH model outperforms others in predicting financial asset volatility.
The article compares different models for predicting volatility in financial markets. They looked at GARCH, GARCH-M, GJR-GARCH, and log-GARCH models using real and simulated data. The study found that the GJR-GARCH model performed the best, followed by GARCH-M, GARCH, and log-GARCH models. The researchers recommend using Excel's Solver tool for parameter estimation in practice.