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• W2750746688 startingPage "193" @default.
• W2750746688 abstract "Abstract The generalized autoregressive conditional heteroskedasticity (GARCH) type models are used to investigate the volatility of Bangladesh stock market. The findings of the study demonstrate that the index volatility characteristics changes over time. The article shows that the data are divided into three sub-periods: pre crisis, crisis, and post crisis. Accordingly, the results of the findings indicate changes in the GARCH-type models parameter, risk premium and persistence of volatility in different periods. A significant “low-yield associated with high-risk” phenomenon is detected in the crisis period and the “leverage effect” occurs in each periods. The investors are irrational which is based on assumption of risk and return characteristics of assets. Consequently, the market is not as mature as developed market. It is found in the article that the threshold generalized autoregressive conditional heteroskedasticity (TGARCH) model is more accurate for the model accuracy. Additionally, statistic error measurements indicate that GARCH model is more efficient than others and it has also more forecasting ability." @default.
• W2750746688 created "2017-09-15" @default.
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• W2750746688 date "2017-08-01" @default.
• W2750746688 modified "2023-10-10" @default.
• W2750746688 title "A Study on the Volatility of the Bangladesh Stock Market — Based on GARCH Type Models" @default.
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• W2750746688 doi "https://doi.org/10.21078/jssi-2017-193-23" @default.
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