Open AccessJournal Article
Analysis of Volatility and Forecasting General Index of Dhaka Stock Exchange
TL;DR: In this article, the performance of different kinds of volatility modeling and their forecasting performance for the general index of an emerging stock market, namely, Dhaka Stock Exchange fro m the period December 06, 2010 to March 12, 2013 were empirically examined.
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Abstract: The purpose of the present study is to empirically examine the performance o f d ifferent kinds of volatility modeling and their forecasting performance for the general index of an emerging stock market, namely Dhaka Stock Exchange fro m the period December 06, 2010 to March 12, 2013. We main ly used Box-Jenkins modeling strategy thereafter the volatility model. The descriptive statistics, correlogram, unit root test, ARMA, ARCH, GA RCH, TARCH, EGA RCH and several model selection criteria are used in this study. The Butterworth filter is used for removing the noise of the re turn series of general index. All the parameters in this study are estimated through Maximu m Likelihood method. The descriptive statistics show general index decrease slightly overtime with positively skewed and leptokurtic. The return series fo llo ws ARMA(1,1) model with volatility provide evidence of the superiority of GA RCH(1,1) and GARCH(2,1) over the all order of other GA RCH models. Finally, we found that the fitted model on filtered general index of Dhaka Stock Exchange are ARMA(1,1) with GA RCH(1, 1) and GA RCH(2,1) model. Th is model can be used for future policy imp lication through its accurate forecast.
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Citations
Modeling and Forecasting of Volatility using ARMA-GARCH: Case Study on Malaysia Natural Rubber Prices
I M Md Ghani,H A Rahim +1 more
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Modelling Co-movement of Different Sectors in Dhaka Stock Exchange (DSE) Using Asymmetric BVAR-GARCH Models
TL;DR: In this article, the authors investigate the financial shock transmission dynamics using daily return data under different sectors traded in Dhaka Stock Exchange (DSE). Bayesian VAR model was used as conditional mean in GJR-GARCH, scalar-diagonal VECH and BEKK GARCH models to test return and volatility spillover effects.
Forecasting Index Return Volatility of The Chittagong Stock Exchange of Bangladesh using GARCH Models
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TL;DR: In this article , the best-fitting model(s) for estimating and forecasting the return volatility of the Chittagong Stock Exchange (CSE) in Bangladesh is identified.
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TL;DR: In this article , the empirical exploration for the proper volatility models of some selected pharmaceutical companies listed in the DSE, Bangladesh e.g. Square, Beximco, Beacon, IBN SINA, and Orion Pharmaceuticals Ltd.
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