MEASURING VOLATILITY USING GARCH MODELS : AN APPLICATION TO SELECTED STOCK OF DHAKA STOCK EXCHANGE

  • Dept. of Statistics, Faculty of Science, Bangabandhu Sheikh Mujibur Rahman Science and Technology University, Gopalganj-8100, Bangladesh.
  • Dept. of Finance and Banking, Faculty of Business Studies, Bangabandhu Sheikh Mujibur Rahman Science and Technology University, Gopalganj-8100, Bangladesh.
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Stock market is an important part of economy of a country. Measuring stock market volatility is an vital issue in finance. There are various models to evaluate volatility. The daily return series shows that there is a variation of closing prices of AB bank. The data of AB bank includes daily closing prices from 01-01-2015 to 05-10-2017 from Dhaka Stock Exchange (DSE) library to forecast phenomena of stock market volatility. We use GARCH models to assess the volatility of stocks from banking sector and find that GARCH (1,1) model is best for measuring volatility of the stocks of AB bank. Once if we measure the volatility then it is possible to make best prediction when to buy and when to sell a stock.

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Sharmin Islam, Rehena Parveen, Sabrina Rahaman and Mabia Khatun (2020); MEASURING VOLATILITY USING GARCH MODELS : AN APPLICATION TO SELECTED STOCK OF DHAKA STOCK EXCHANGE, Int. J. of Adv. Res., 8 (01), 803-809, ISSN 2320-5407. DOI URL: https://dx.doi.org/10.21474/IJAR01/10366

Sharmin Islam
Bangabandhu Sheikh Mujibur Rahman Science and Technology University (BSMRSTU),

DOI:

Article DOI: 10.21474/IJAR01/10366      
DOI URL: https://dx.doi.org/10.21474/IJAR01/10366

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