文章基本信息

标题：Which Model Performs Better While Forecasting Stock Market Volatility? Answer for Dhaka Stock Exchange (DSE)
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作者：S. M. Abdullah ; Mohammod Akbar Kabir ; Kawsar Jahan 等
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2018
卷号：8
期号：14
页码：3203-3222
DOI：10.4236/tel.2018.814199
语种：English
出版社：Scientific Research Publishing
摘要：An efficient and well behaved capital market can be regarded as a prerequisite for the sustainable financial development for an economy. For making the stock market efficient and reducing uncertainty, volatility measure is necessary for the policy makers. The main objective of this paper is to examine relative ability of various models to forecast future volatility and to devise appropriate volatility model for capturing variability in stock returns of Dhaka Stock Exchange (DSE). By exploiting daily data spanning from 27th November, 2001 to 31st July, 2013, it was found that, from volatility persistency perspective MA(2)-GARCH(2, 1) is better due to both in sample and out of sample accuracy. In contrast, from capturing asymmetric effect perspective MA(2)-EGARCH(1, 3) is better. Thus, there was no clear winner and hence the decision should depend on the purpose of the concerned people.
关键词：Stock Market;Volatility Forecasting;GARCH;EGARCH;Mean Equation