COMPARING THE PERFORMANCES OF GARCH-TYPE MODELS IN CAPTURING THE BROAD INDEX VOLATILITY IN DHAKA STOCK EXCHANGE.

  • Associate Professor, Department of Statistics, University of Rajshahi, Rajshahi 6205, Bangladesh.
  • Professor and Chairman, Department of Statistics, University of Rajshahi, Rajshahi 6205, Bangladesh.
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This study conducted the empirical investigation for the volatility of Broad index of Dhaka stock Exchange (DESX) in Bangladesh. Asymmetric Generalized Autoregressive Conditional Heteroscedastic (GARCH) model was used for DESX index. According to Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC), GJR-GARCH (1,1) is found to be the most applicable model to capture the asymmetric volatility. Their performances were also compared under statistical error measurement tools, e.g., root mean squared error (RMSE), mean absolute error (MAE), mean absolute percentage error (MAPE), theil inequality coefficient and bias proportion analyses.

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[Monimul Huq and Ayub Ali. (2018); COMPARING THE PERFORMANCES OF GARCH-TYPE MODELS IN CAPTURING THE BROAD INDEX VOLATILITY IN DHAKA STOCK EXCHANGE. Int. J. of Adv. Res. 6 (Jun). 81-89] (ISSN 2320-5407). www.journalijar.com

Dr. Md. Ayub Ali
Professor and Chairman Department of Statistics University of Rajshahi Rajshahi 6205, Bangladesh

DOI:

Article DOI: 10.21474/IJAR01/7190      
DOI URL: https://dx.doi.org/10.21474/IJAR01/7190

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