Loss function

Forecast horizons

Volatility model

GARCH

TGARCH

APARCH

QL

1 day

0.8148

0.7979*

0.7845

1 week

0.8279

0.8036**

0.7934*

2 weeks

0.8436

0.7982***

0.7919**

1 month

0.8616

0.7982***

0.8134

MSE

1 day

1.0053

1.0374

1.0104

1 week

1.0097

1.0104

0.9711*

2 weeks

1.0166

0.9833*

0.9404**

1 month

1.0313

0.9333*

0.9117*