Analysing volatility of Colombo consumer price index using GARCH models

Please use this identifier to cite or link to this item: http://ir.lib.seu.ac.lk/handle/123456789/1456

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DC Field	Value	Language
dc.contributor.author	Alibuhtto, M.C
dc.date.accessioned	2016-03-18T04:57:59Z
dc.date.available	2016-03-18T04:57:59Z
dc.date.issued	2014-08-02
dc.identifier.citation	Proceedings of 4th International Symposium 2015 on " Emerging Trends and Challenges on Sustainable Development”, p. 60
dc.identifier.isbn	978-955-627-053-2
dc.identifier.uri	http://ir.lib.seu.ac.lk/handle/123456789/1456
dc.description.abstract	The objective of this paper is to analyse and modelling the volatility of Colombo Consumer Price Index (CCPI) in Sri Lanka using monthly data from January 2008 to April 2014. Three types of GARCH models (GARCH, TGARCH and EGARCH) were used for this study. Using various specifications for mean equation, study estimated GARCH (1, 1), TGARCH (1, 1) and EGARCH (1, 1) for CCPI. The estimation results reveal that ARMA (1, 0) - EGARCH (1, 1) comes out to be most appropriate specification for modelling CCPI volatility. The study finds that, no evidence of symmetry in the response of CCPI volatility to negative and positive shocks.	en_US
dc.language.iso	en_US	en_US
dc.publisher	South Eastern University of Sri Lanka, University Park, Oluvil #32360, Sri Lanka	en_US
dc.subject	CCPI	en_US
dc.subject	GARCH	en_US
dc.subject	Unit root	en_US
dc.subject	Volatility	en_US
dc.title	Analysing volatility of Colombo consumer price index using GARCH models	en_US
dc.type	Conference abstract	en_US
Appears in Collections:	4th International Symposium - 2014

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