Choosing the best performing garch model for Sri Lanka stock market by non-parametric specification test

Please use this identifier to cite or link to this item: http://ir.lib.seu.ac.lk/handle/123456789/2349

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DC Field	Value	Language
dc.contributor.author	Jahufer, Aboobacker	-
dc.date.accessioned	2017-02-14T07:07:29Z	-
dc.date.available	2017-02-14T07:07:29Z	-
dc.date.issued	2013-11-10	-
dc.identifier.citation	Journal of Data Science pp. 457-472	en_US
dc.identifier.uri	http://ir.lib.seu.ac.lk/handle/123456789/2349	-
dc.description.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	en_US
dc.language.iso	en	en_US
dc.publisher	Journal of Data Science	en_US
dc.subject	GARCH Model	en_US
dc.subject	Asymmetric GARCH Model	en_US
dc.subject	Generalized Error Density	en_US
dc.subject	Colombo Stock Exchange	en_US
dc.subject	Non Parametric Specification Test	en_US
dc.title	Choosing the best performing garch model for Sri Lanka stock market by non-parametric specification test	en_US
dc.type	Article	en_US
Appears in Collections:	Research Articles

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