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.

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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