In this article, we use the data of exchange rate market, to compare different expanded forms of GARCH models based on generalized error distribution (GED), such as EGARCH, TGARCH, PGARCH and CGARCH based on GED. Then we'll find out the best model for describing the volatility of exchange rate market by the evaluation index. Results turn out, for present exchange rate, asymmetric model fits
... [Show full abstract] better than symmetrical models, so there exist leverage effect. For all expanded model of GED-GARCH, asymmetric P-GARCH is the best model for estimating the volatility of exchange rate. Asymmetric models is better than symmetric models, which indicates leverage effect have influence for Exchange rate market.