Forecasting Volatility of Selected Banks of Dhaka Stock Exchange (DSE), Bangladesh with GARCH (p, q) Type Models
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| Format: | Recurso digital |
| Langue: | anglais |
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2021
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| _version_ | 1866901827976429568 |
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| author | Hossain, M.S. Baten, M.A. Mukta, F.B. |
| author_facet | Hossain, M.S. Baten, M.A. Mukta, F.B. |
| contents | <p>Stock price volatility is an indication of unreasonable market performance in Bangladesh although stock prices produce valuable information to safeguarding the competence of capital markets. The objective of this paper is to study the volatility and forecasting volatility of selected Banks of the Dhaka Stock Exchange (DSE) by using Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models. The volatility of DSE returns of selected banks Brac bank, City Bank, Pubali bank, and Eastern bank have been modelled from 2008 to 2018 based on a daily scale. The asymmetric volatility model E-GARCH and GJR-GARCH perform better in modelling the volatility of selected banks of DSE. There is a significant impact of positive shocks on volatility for Brac and Eastern banks whereas for City bank negative shocks tend to produce higher volatility. Volatility is persistent for City, Pubali, and Eastern banks meaning that in upcoming days they could be affected by volatility. The fitted models for Brac, City, and Eastern banks performed well in backtesting while Pubali bank does not perform well. In the upcoming days all bank’s volatility will have a chance to be increasing where Brac bank is less volatile and Pubali bank is the most volatile bank of DSE.</p> |
| format | Recurso digital |
| id | zenodo_https___doi_org_10_5281_zenodo_16925231 |
| institution | Zenodo |
| language | eng |
| publishDate | 2021 |
| publisher | Zenodo |
| record_format | zenodo |
| spellingShingle | Forecasting Volatility of Selected Banks of Dhaka Stock Exchange (DSE), Bangladesh with GARCH (p, q) Type Models Hossain, M.S. Baten, M.A. Mukta, F.B. Volatility, Forecast, GARCH, Selected Banks, Dhaka Stock Exchange <p>Stock price volatility is an indication of unreasonable market performance in Bangladesh although stock prices produce valuable information to safeguarding the competence of capital markets. The objective of this paper is to study the volatility and forecasting volatility of selected Banks of the Dhaka Stock Exchange (DSE) by using Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models. The volatility of DSE returns of selected banks Brac bank, City Bank, Pubali bank, and Eastern bank have been modelled from 2008 to 2018 based on a daily scale. The asymmetric volatility model E-GARCH and GJR-GARCH perform better in modelling the volatility of selected banks of DSE. There is a significant impact of positive shocks on volatility for Brac and Eastern banks whereas for City bank negative shocks tend to produce higher volatility. Volatility is persistent for City, Pubali, and Eastern banks meaning that in upcoming days they could be affected by volatility. The fitted models for Brac, City, and Eastern banks performed well in backtesting while Pubali bank does not perform well. In the upcoming days all bank’s volatility will have a chance to be increasing where Brac bank is less volatile and Pubali bank is the most volatile bank of DSE.</p> |
| title | Forecasting Volatility of Selected Banks of Dhaka Stock Exchange (DSE), Bangladesh with GARCH (p, q) Type Models |
| topic | Volatility, Forecast, GARCH, Selected Banks, Dhaka Stock Exchange |
| url | https://doi.org/10.5281/zenodo.16925231 |