The article compares different models to predict stock market and exchange rate volatility. They use GARCH(1,1), EGARCH, and MIDAS regression to make forecasts. The MIDAS regression model performs better than the GARCH models in predicting volatility. The GARCH models tend to underestimate volatility and react slowly to changes, leading to inaccurate risk estimates. This has important implications for pricing options and managing risks in the financial sector.