Choose one stock market index of your interest. Fit at least two models to the returns in the in-sample period. Restrict

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Choose one stock market index of your interest. Fit at
least two models to the returns in the in-sample period. Restrict
the mean equation to the constant conditional mean, i.e., use rt =
µ + εt, εt = σtzt, and choose your specification for the
conditional variance σ 2 t and the distribution for the shocks zt.
For example, you may choose ARCH(1) and GARCH(1,1). Alternatively,
you may choose GARCH(1,1) and TARCH(1,1)-t(ν) model. Describe the
models you choose, state your reasons for choosing these models,
present the model estimates, and compare the in-sample fit of your
models.