Choosing the Best Performing Garch Model for Sri Lanka Stock Market by Non-Parametric Specification Test
نویسندگان
چکیده
This paper examines the performance of different kind GARCH models with Gaussian, Student-t and generalized error distribution for Colombo Stock Exchange (CSE), in Sri Lanka. Analyzing daily closing price index CSE from January 02, 2007 to March 10, 2013. It was found that Asymmetric give better result than symmetric model. According distributional assumption these under as well provided fit normal assumption. The Non-Parametric Specification test suggest GARCH, EGARCH, TARCH APARCH are most successful model CSE.
منابع مشابه
conditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
Are prolonged conflict and tension deterrents for stock market integration? The case of Sri Lanka
Article history: Received 13 December 2013 Received in revised form 26 June 2015 Accepted 3 August 2015 Available online 8 August 2015 This paper investigates stock market interdependencies between Sri Lanka and selected economies in the context of its long civil war using the Dynamic Conditional Correlation (DCC) model with monthly indices (1993–2013) and through bilateral analysis. While corr...
متن کاملForecasting Stock Market Volatility Using (Non-Linear) Garch Models
In this papeT we study the performance of the GARCH model and two of its non-linear modifications to forecast weekly stock market volatility. The models are the Quadratic GARCH (Engle and Ng. 1993) and the Glosten. Jagannathan and Runkle (1992) models which have been proposed to describe, for example, the often observed negative skewness in stock market indices. We find that the QGARCH model is...
متن کاملA bedside test for methemoglobinemia, Sri Lanka
PROBLEM Propanil is an aniline herbicide that is widely used for rice cultivation, but is also used for self-poisoning. Toxicity from propanil is largely due to methemoglobinemia. In resource-poor settings, the capacity to determine methemoglobin concentration is insufficient and prevents effective case management, which results in increased deaths from propanil poisoning. APPROACH Blood with...
متن کاملA model specification test for GARCH ( 1 , 1 ) processes
We provide a consistent specification test for GARCH(1,1) models based on a test statistic of Cramér-von Mises type. Since the limit distribution of the test statistic under the null hypothesis depends on unknown quantities in a complicated manner, we propose a model-based (semiparametric) bootstrap method to approximate critical values of the test and verify its asymptotic validity. Finally, w...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of data science
سال: 2021
ISSN: ['1680-743X', '1683-8602']
DOI: https://doi.org/10.6339/jds.201507_13(3).0003