The Impact of Shocks on the Volatility of the Dubai General Market Index (Dfmgi), Using Asymmetric Garch Models

Abstract

This research paper aims to study the effects of good and bad news on the volatility of the Dubai General Market Index (DFMGI) return series for 5,5 years during the period spanning from January 1, 2018, to June 30, 2023, using the asymmetric GARCH models: EGARCH(1,1), TGARCH(1,1) and PARCH(1,1). The study concluded that positive and negative shocks asymmetric impact fluctuations in price returns in the Dubai financial market. This means that negative shocks significantly impact volatility more than positive shocks. The study also concluded that the best asymmetric GARCH model among the three used is the PARCH(1,1) model.