The importance of return volatility forecasts in policy formation and investment decision-making in emerging countries is growing considerably. However, from an operational perspective, there is no consensus in the literature on which econometric model has the best forecasting performance. To shed new light on this issue, this article compares forecasting models for a selected group of emerging Asian economies: India, Malaysia, Pakistan, Sri Lanka, Singapore and Thailand. Model’s performance is tested using both in-sample and out-of-sample forecasting methods. It is found that a relatively simple asymmetric EGARCH model clearly outperforms other models. JEL Classification: G12, G17

中文翻译：

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不同新兴资本市场回报波动的可预测性：来自亚洲的证据

回报率波动预测在新兴国家的政策形成和投资决策中的重要性正在大大提高。但是，从操作角度来看，关于哪种计量经济学模型具有最佳预测性能的文献尚无共识。为了阐明这个问题，本文比较了一些新兴亚洲经济体的预测模型：印度，马来西亚，巴基斯坦，斯里兰卡，新加坡和泰国。使用样本内和样本外预测方法测试模型的性能。发现相对简单的非对称EGARCH模型明显优于其他模型。JEL分类：G12，G17