Impact study of volatility modelling of Bangladesh stock index using non-normal density

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	Impact study of volatility modelling of Bangladesh stock index using non-normal density
	Rahman, Md. Mostafizur ; Zhu, Jian-Ping ; Rahman, M. Sayedur ; Zhu JP(朱建平)
刊名	http://dx.doi.org/10.1080/02664760802320574
	2008
关键词	CONTINUOUS-TIME MODELS SPOT INTEREST-RATE CONDITIONAL HETEROSKEDASTICITY MARKET VOLATILITY PERFORMANCE RETURNS
英文摘要	Ministry of Education of the People's Republic of China [NCET-04-0608]; This article examines a wide variety of popular volatility models for stock index return, including the random walk (RW), autoregressive, generalized autoregressive conditional heteroscedasticity (GARCH), and asymmetric GARCH models with normal and non-normal (Student's t and generalized error) distributional assumption. Fitting these models to the Chittagong stock index return data from the period 2 January 1999 to 29 December 2005, we found that the asymmetric GARCH/GARCH model fits better under the assumption of non-normal distribution than under normal distribution. Non-parametric specification tests show that the RW-GARCH, RW-TGARCH, RW-EGARCH, and RW-APARCH models under the Student's t-distributional assumption are significant at the 5% level. Finally, the study suggests that these four models are suitable for the Chittagong Stock Exchange of Bangladesh. We believe that this study would be of great benefit to investors and policy makers at home and abroad.
语种	英语
出版者	J APPL STAT
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/90133]
专题	经济学院－已发表论文
推荐引用方式 GB/T 7714	Rahman, Md. Mostafizur,Zhu, Jian-Ping,Rahman, M. Sayedur,et al. Impact study of volatility modelling of Bangladesh stock index using non-normal density[J]. http://dx.doi.org/10.1080/02664760802320574,2008.
APA	Rahman, Md. Mostafizur,Zhu, Jian-Ping,Rahman, M. Sayedur,&朱建平.(2008).Impact study of volatility modelling of Bangladesh stock index using non-normal density.http://dx.doi.org/10.1080/02664760802320574.
MLA	Rahman, Md. Mostafizur,et al."Impact study of volatility modelling of Bangladesh stock index using non-normal density".http://dx.doi.org/10.1080/02664760802320574 (2008).