Volatility Estimation in the Dhaka Stock Exchange (DSE) returns by Garch Models

Aziz, Md. Shawkatul Islam; Uddin, Md. Nezum

doi:10.18034/abr.v4i1.72

Cited by 6 publications

(1 citation statement)

References 16 publications

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“…Bala and Asemota (2013) used monthly exchange rate return series for Naira/US dollar return and Naira/British pounds and Naira/Euro returns to critically look at the exchange rate volatility using GARCH models. Aziz and Uddin (2014) study the volatility of the Dhaka Stock Exchange (DSE). The study uses the GARCH models to estimate the presence of volatility.…”

Section: Introductionmentioning

confidence: 99%

Modeling Stock Market Volatility Using GARCH Approach on the Ghana Stock Exchange

Omari-Sasu¹,

Frempong²,

Boateng³

et al. 2015

IJBM

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The study examined and modeled stock market volatility of financial return series for three listed equities on the Ghana Stock Exchange (GSE). A historical data from 25<sup>th</sup> June 2007 to 31<sup>st</sup> October 2014 was considered for the analysis. The series for each of the three equities were tested for stationarity using the KPSS test. Series found to be non-stationary were transformed to be stationary. The study fitted a GARCH (p, q) model for volatility. GARCH (1, 1), GARCH (1, 2), GARCH (2, 1) and the GARCH (2, 2) models were fitted to residual series of some three equities. Results revealed the presence of volatilities in all three equities and also showed that volatility though present was not persistent in the three equities. For each of the companies under study, the GARCH (1, 1) model was found to outperform the other three models based on the comparison of the AICc for each model. The study recommended the use and comparison of other variants of the GARCH model in estimation of volatility.

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Section: Introductionmentioning

confidence: 99%

Modeling Stock Market Volatility Using GARCH Approach on the Ghana Stock Exchange

Omari-Sasu¹,

Frempong²,

Boateng³

et al. 2015

IJBM

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Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market

Bose¹,

Rahman

2022

Sage Open

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The primary objective of this paper is to empirically examine the nature and statistical significance of the news effect on conditional volatility of unpredictable components of stock returns. Daily stock return data of 12 local and multinational companies on Dhaka Stock Exchange Ltd., Bangladesh, for the period 1990 to 2011 were used in this study. The likelihood of asymmetric effects of news on conditional volatility was tested using a set of diagnostics under the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) framework. The results fail to reject the null hypothesis of symmetric effects, thereby suggesting that the conditional volatility of unpredictable components of stock returns is affected equally by positive and negative news. The robustness of the results was further checked by using three widely used asymmetric models, namely exponential GARCH (EGARCH), Glosten, Jagannathan & Runkle (GJR)-GARCH, and a partially non-parametric Autoregressive Conditional Heteroscedastic (PNP-ARCH) models. Yet again, the results do not provide any evidence of significant asymmetric effects in the volatility process. In addition, the descriptive results confirm the stylized facts of unpredictable return series such as non-normal distribution, time variant conditional volatility, and persistence in return volatility. Collectively these findings, perhaps, indicate the adequacy of the GARCH (1,1) model in representing the data generating process. A number of regulatory and behavioral factors that are anticipated to be accountable for the absence of asymmetric news effects are underlined. Finally, some policy implications of the results and possible extensions of the present paper are also conveyed. JEL codes: G10, G12, G14

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The Fundamental Deviation and the Riddle of Manipulation: A Critical Analysis in the Context of Bangladesh Stock Market Crash in 2010-11

Hossain

2014

Asian bus. rev.

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The capital market in Bangladesh does not always act based on the fundamentals. Fundamental means the set of ethics, principles, guidance, various market instruments and well structural set up that helps the stock market for operating well. Structural weakness is a thing which may ruin the market base or fundamentals. But the capital market as part of the economy should function based on the fundamental norms, principles and proper rules and regulations. Otherwise, there may be some detrimental effects on the market. Stock market anomalies bring harm not only to destroy market fundamentals but also to spread manipulation inside the stock market. Moreover, the recent stock market crash in 2010-11 was the biggest shock for the 3.3 million innocent and small investors in the capital market of Bangladesh. A section of greedy investors resorted to manipulation at different levels to cash in on the lack of small investors' proper knowledge about market fundamentals. The excessive fraudulent activities of the unscrupulous manipulators just hastened the fall of the market. So, much of the focus of this study has been put on the causes and consequences of the fundamental deviation and the riddle of manipulation based on the relevant facts and figures.

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Volatility Estimation in the Dhaka Stock Exchange (DSE) returns by Garch Models

Cited by 6 publications

References 16 publications

Modeling Stock Market Volatility Using GARCH Approach on the Ghana Stock Exchange

Modeling Stock Market Volatility Using GARCH Approach on the Ghana Stock Exchange

Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market

The Fundamental Deviation and the Riddle of Manipulation: A Critical Analysis in the Context of Bangladesh Stock Market Crash in 2010-11

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