Since 2014
Volatility Estimation in the Dhaka Stock Exchange (DSE) returns by Garch Models
Asian Business Review
View Archive Info| Field | Value | |
| Title |
Volatility Estimation in the Dhaka Stock Exchange (DSE) returns by Garch Models
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| Creator |
Aziz, Md. Shawkatul Islam; Mphil Research Fellow, Department of Economics, University of Chittagong, BANGLADESH
Uddin, Md. Nezum; Lecturer in Economics, Department of Economics & Banking, International Islamic University Chittagong, BANGLADESH |
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| Subject |
ARCH, DSE, GARCH, Stock Market, Volatility
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| Description |
This study aimed at understanding the volatility of Dhaka Stock Exchange (DSE). The daily and monthly average DSE General Index (DGEN), from the period January 1, 2002 to July 31, 2013 has been used. The study has been made by using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models to estimate the presence of volatility. Though volatility is a common phenomenon in the capital market, the study recommends careful monitoring of volatility by the concerned authority if necessary. It is also recommended that activities of corporate insiders should be properly checked and information should become available for all of the interested investors and to ensure adequate supply of stock through active participation of the government and giant national and multinational companies and so forth.
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| Publisher |
Asian Business Consortium
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| Contributor |
—
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| Date |
2015-02-26
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/pdf
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| Identifier |
http://journals.abc.us.org/index.php/abr/article/view/Aziz
10.18034/abr.v4i1.279 |
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| Source |
Asian Business Review; Vol 4, No 1 (2014): 7th Issue; 41-49
2305-8730 2304-2613 |
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| Language |
eng
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| Relation |
http://journals.abc.us.org/index.php/abr/article/view/Aziz/185
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| Rights |
Copyright (c) 2015 Md. Shawkatul Islam Aziz, Md. Nezum Uddin
http://creativecommons.org/licenses/by-nc/4.0 |
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