The modelling of market returns can be especially problematical in emerging and frontier financial markets given the propensity of their returns to exhibit significant non-normality and volatility asymmetries. This paper attempts to identify which representations within the GARCH family of models can most efficiently deal with these issues. A number of different distributions (normal, Student t, GED and skewed Student) and different volatility of returns asymmetry representations (EGARCH and GJR- -GARCH) are examined. Our data set consists of daily Jordanian stock market returns over the period January 2000 – November 2014. Using both the Superior Predicative Ability (SPA) and Model Confidence Set (MCS) testing frameworks it is found that using GJR-GARCH with a skewed Student distribution most accurately and efficiently forecasts Jordanian market movements. Our findings are consistent with similar research undertaken in respect to developed markets.
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