A few months ago I've read somewhere that although the exponential GARCH model may lead to higher BIC values in comparison to other extensions of the GARCH family (GARCH, GJR-GARCH, TGARCH, ...), volatility forecasting under this model may lead to biased results. I'm trying to find a trustworthy source (an academic paper) which could back this, but so far I've found
- this Matlab page which indirectly tells me that results are biased,
- this 2010 working paper which hasn't been published in any journal, and
- some bachelor/master theses that report this info without backing it with an academic source.
And as you may imagine, I can't (or better, I don't want to) quote other students' theses in my own thesis.
Do you know of any published work which proves this claim? Or a reliable source which suggests why the EGARCH shouldn't be used for forecasting?