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http://ir.lib.seu.ac.lk/handle/123456789/2349| Title: | Choosing the best performing garch model for Sri Lanka stock market by non-parametric specification test |
| Authors: | Jahufer, Aboobacker |
| Keywords: | GARCH Model Asymmetric GARCH Model Generalized Error Density Colombo Stock Exchange Non Parametric Specification Test |
| Issue Date: | 10-Nov-2013 |
| Publisher: | Journal of Data Science |
| Citation: | Journal of Data Science pp. 457-472 |
| Abstract: | This paper examines the performance of different kind of GARCH models with Gaussian, Student-t and generalized error distribution for Colombo Stock Exchange (CSE), in Sri Lanka. Analyzing the daily closing price index of CSE from January 02, 2007 to March 10, 2013. It was found that the Asymmetric GARCH models give better result than symmetric GARCH model. According to distributional assumption these models under Student-t as well as generalized error provided better fit than normal distributional assumption. The Non-Parametric Specification test suggest that the GARCH, EGARCH, TARCH and APARCH models with Student-t distributional assumption are the most successful model for CSE |
| URI: | http://ir.lib.seu.ac.lk/handle/123456789/2349 |
| Appears in Collections: | Research Articles |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Choosing the Best Performing GARCH Model 2.pdf Restricted Access | 426.1 kB | Adobe PDF | View/Open Request a copy |
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