Model Conditional variance equation Proposed by IGARCH ${\sigma }_{t}^{2}=\omega +\alpha {\epsilon }_{t-1}^{2}+\left(1-\alpha \right){\sigma }_{t-1}^{2}$ Engle and Bollerslev [30] EGARCH $\mathrm{ln}\left({\sigma }_{t}^{2}\right)=\omega +\alpha {\epsilon }_{t-1}^{2}+\gamma \left(|{\epsilon }_{t-1}|-E\left(|{\epsilon }_{t-1}|\right)\right)+\beta \mathrm{ln}\left({\sigma }_{t-1}^{2}\right)$ Nelson [31] GJR ${\sigma }_{t}^{2}=\omega +\alpha {\epsilon }_{t-1}^{2}+\gamma I\left({\epsilon }_{t-1}<0\right){\epsilon }_{t-1}^{2}+\beta {\sigma }_{t-1}^{2}$ Glosten et al. [32] APARCH ${\sigma }_{t}^{\delta }=\omega +\alpha {\left(|{\epsilon }_{t-1}|-\gamma {\epsilon }_{t-1}\right)}^{\delta }+\beta {\sigma }_{t-1}^{\delta }$ Ding et al. [33] CSGARCH ${\sigma }_{t}^{2}={q}_{t}+\alpha \left({r}_{t-1}^{2}+{q}_{t-1}\right)+\beta \left({\sigma }_{t-1}^{2}+{q}_{t-1}\right)$ ${q}_{t}=\omega +\rho {q}_{t-1}+\varphi {\epsilon }_{t-1}^{2}-{\sigma }_{t-1}^{2}$ Engle and Lee [34] TGARCH ${\sigma }_{t}=\omega +\alpha {\sigma }_{t-1}\left(|{\epsilon }_{t-1}|-{\eta }_{1}{\epsilon }_{t-1}\right)+\beta {\sigma }_{t-1}$ Zakoian [35] AVGARCH ${\sigma }_{t}=\omega +\alpha {\sigma }_{t-1}\left(|{\epsilon }_{t-1}-{\eta }_{2}|-{\eta }_{1}\left({\epsilon }_{t-1}-{\eta }_{2}\right)\right)+\beta {\sigma }_{t-1}$ Schwert and Seguin [36] NGARCH ${\sigma }_{t}^{\delta }=\omega +\alpha {\sigma }_{t-1}^{\delta }{\left(|{\epsilon }_{t-1}|\right)}^{\delta }+\beta {\sigma }_{t-1}^{\delta }$ Higgins and Bera [37] NAGARCH ${\sigma }_{t}^{2}=\omega +\alpha {\sigma }_{t-1}^{2}{\left(|{\epsilon }_{t-1}-{\eta }_{2}|\right)}^{2}+\beta {\sigma }_{t-1}^{2}$ Engle and Ng [38] FGARCH ${\sigma }_{t}^{\delta }=\omega +\alpha {\sigma }_{t}^{\delta }{\left(|{\epsilon }_{t-1}-{\eta }_{2}|-{\eta }_{1}\left({\epsilon }_{t-1}-{\eta }_{2}\right)\right)}^{\delta }+\beta {\sigma }_{t-1}^{\delta }$ Hentschel et al. [39] FIGARCH $\varphi \left(L\right){\left(1-L\right)}^{d}{\epsilon }_{t}^{2}={\alpha }_{0}+\left[1-\beta \left(L\right)\right]{\nu }_{t}$ Baillie et al. [40]