Performance analysis of GARCH family models in three time-frames
The proposed alternative p-value method can be used in finding the best performing models. The rank of the p-values namely t-test and z-test statistics can overcome the constraint imposed when using the Mean Absolute Percentage Error as the measurement error. It is crucial to select the right model...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2021
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| Online Access: | http://journalarticle.ukm.my/18785/1/jeko_552-2-2.pdf |
| _version_ | 1796932919618437120 |
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| author | Md. Jamal Hossain, Akter, Sadia Mohd Tahir Ismail, |
| author_facet | Md. Jamal Hossain, Akter, Sadia Mohd Tahir Ismail, |
| author_sort | Md. Jamal Hossain, |
| collection | UKM |
| description | The proposed alternative p-value method can be used in finding the best performing models. The rank of the p-values namely t-test and z-test statistics can overcome the constraint imposed when using the Mean Absolute Percentage Error as the measurement error. It is crucial to select the right model in the right period so that the model can interpret volatility correctly. This study aimed to provide empirical analyses on the volatility of the Dhaka Stock Exchange market during the market crash in 2011. Three sub-samples were considered to represent pre-crisis, crisis, and post-crisis between November 16, 2009 to July 31, 2013 representing 889 observations. Various GARCH family models were fitted in order to capture the volatility and their performances were compared. |
| first_indexed | 2024-03-06T04:39:33Z |
| format | Article |
| id | ukm.eprints-18785 |
| institution | Universiti Kebangsaan Malaysia |
| language | English |
| last_indexed | 2024-03-06T04:39:33Z |
| publishDate | 2021 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| record_format | dspace |
| spelling | ukm.eprints-187852022-06-23T08:13:18Z http://journalarticle.ukm.my/18785/ Performance analysis of GARCH family models in three time-frames Md. Jamal Hossain, Akter, Sadia Mohd Tahir Ismail, The proposed alternative p-value method can be used in finding the best performing models. The rank of the p-values namely t-test and z-test statistics can overcome the constraint imposed when using the Mean Absolute Percentage Error as the measurement error. It is crucial to select the right model in the right period so that the model can interpret volatility correctly. This study aimed to provide empirical analyses on the volatility of the Dhaka Stock Exchange market during the market crash in 2011. Three sub-samples were considered to represent pre-crisis, crisis, and post-crisis between November 16, 2009 to July 31, 2013 representing 889 observations. Various GARCH family models were fitted in order to capture the volatility and their performances were compared. Penerbit Universiti Kebangsaan Malaysia 2021 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/18785/1/jeko_552-2-2.pdf Md. Jamal Hossain, and Akter, Sadia and Mohd Tahir Ismail, (2021) Performance analysis of GARCH family models in three time-frames. Jurnal Ekonomi Malaysia, 55 (2). pp. 15-28. ISSN 0127-1962 https://www.ukm.my/jem/issue/v55i2/ |
| spellingShingle | Md. Jamal Hossain, Akter, Sadia Mohd Tahir Ismail, Performance analysis of GARCH family models in three time-frames |
| title | Performance analysis of GARCH family models in three time-frames |
| title_full | Performance analysis of GARCH family models in three time-frames |
| title_fullStr | Performance analysis of GARCH family models in three time-frames |
| title_full_unstemmed | Performance analysis of GARCH family models in three time-frames |
| title_short | Performance analysis of GARCH family models in three time-frames |
| title_sort | performance analysis of garch family models in three time frames |
| url | http://journalarticle.ukm.my/18785/1/jeko_552-2-2.pdf |
| work_keys_str_mv | AT mdjamalhossain performanceanalysisofgarchfamilymodelsinthreetimeframes AT aktersadia performanceanalysisofgarchfamilymodelsinthreetimeframes AT mohdtahirismail performanceanalysisofgarchfamilymodelsinthreetimeframes |