Like the title says, I'm searching for papers that compare the performance of different GARCH models (mainly the standard GARCH, EGARCH and GJR-GARCH). I'm sure there are some standard papers that everyone who works with these models knows, but I'm unable to find them unfortunately.
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Papers that compare the performance of these models at doing what exactly? Nearly every paper "about" GARCH models does this to some degree. – Chris Haug Mar 20 '21 at 01:38
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Hansen & Lunde "Does Anything Beat a GARCH(1,1)?" compare a large number of parametric volatility models in an extensive empirical study. They find that no other model provides significantly better forecasts than the GARCH(1,1) model. (This is probably the best known paper of GARCH model comparisons. It is however already 20 years old, so you may expect many more comparisons to have been published until now.)
However, Ghalanos argues for the opposite in his blog post "Does Anything NOT Beat the GARCH(1,1)?", illustrating the case with empirical examples.
Also, Reschenhofer asks "Does Anyone Need a GARCH(1,1)?" and shows that simple robust estimators such as weighted medians of past (squared) returns outperform the GARCH(1,1) model both in-sample as well as out-of-sample. Note that intraday data is considered in this paper but it might not be available in practice.)
Hansen, Lunde and Nason compare 55 different volatility models in "Choosing the Best Volatility Models: The Model Confidence Set Approach".
Richard Hardy
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