Hybrid Model for Stock Market Volatility

Table 2

Test for superior predictive ability.

Models	ED	Test values	values
NASDAQ100
BSGARCH vs. GARCH	NORM	203.97	<0.001
	GED	175.63	<0.001
BSGARCH vs. EGARCH	NORM	263.94	<0.001
	GED	276.30	<0.001
BSGARCH vs. GJR-GARCH	NORM	197.29	<0.001
	GED	208.64	<0.001
BSGARCH vs. APARCH	NORM	225.05	<0.001
	GED	152.52	<0.001
S&P 500
BSGARCH vs. GARCH	NORM	678.79	<0.001
	GED	646.22	<0.001
BSGARCH vs. EGARCH	NORM	706.79	<0.001
	GED	721.72	<0.001
BSGARCH vs. GJR-GARCH	NORM	661.22	<0.001
	GED	647.70	<0.001
BSGARCH vs. APARCH	NORM	312.95	<0.001
	GED	392.86	<0.001