Generally, in empirical financial studies, the determination of the true conditional variance in GARCH modelling is largely subjective. In this paper, we investigate the consequences of choosing a wrong conditional variance specification. The methodology involves specifying a true conditional variance and then simulating data to conform to the true specification. The estimation is then carried out using the true specification and other plausible specification that are appealing to the researcher, using model and forecast evaluation criteria for assessing performance. The results show that GARCH model could serve as better alternative to other asymmetric volatility models.