Abstract
COVID-19 pandemic has affected more than a hundred fifty million people and killed over three million people worldwide over the past year. During this period, different forecasting models have tried to forecast time path of COVID-19 pandemic. Unlike the COVID-19 forecasting literature based on Autoregressive Integrated Moving Average (ARIMA) modelling, in this paper new COVID-19 cases were modelled and forecasted by conditional variance and asymmetric effects employing Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Threshold GARCH (TARCH) and Exponential GARCH (EGARCH) models. ARMA, ARMA-GARCH, ARMA-TGARCH and ARMA-EGARCH models were employed for one-day ahead forecasting performance for April, 2021 and three waves of COVID-19 pandemic in nine most affected countries -USA, India, Brazil, France, Russia, UK, Italy, Spain and Germany. Empirical results show that ARMA-GARCH models have better forecast performance than ARMA models by modelling both the conditional heteroskedasticity and the heavy-tailed distributions of the daily growth rate of the new confirmed cases; and asymmetric GARCH models show mixed results in terms of reducing the root mean squared error (RMSE).