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

    Author(s):
    Md. Shawkatul Islam Aziz, Md. Nezum Uddin
    Editor(s):
    Alim Al Ayub Ahmed (see profile)
    Date:
    2014
    Group(s):
    Archives, Asian Business Review, Literature and Economics, Open Educational Resources, Scholarly Communication
    Item Type:
    Article
    Permanent URL:
    http://dx.doi.org/10.17613/rtmr-yz07
    Abstract:
    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.
    Metadata:
    Published as:
    Journal article    
    Status:
    Published
    Last Updated:
    3 years ago
    License:
    Attribution-NonCommercial
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