English, Article edition: JUMP, NON-NORMAL ERROR DISTRIBUTION AND STOCK PRICE VOLATILITY â A NONPARAMETRIC SPECIFICATION TEST MOHAMMAD MASUDUR RAHMAN; LAILA ARJUMAN ARA; ZHENLONG ZHENG

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/18212
Physical Description
  • article
Language
  • English

Edition details

Title
  • JUMP, NON-NORMAL ERROR DISTRIBUTION AND STOCK PRICE VOLATILITY â A NONPARAMETRIC SPECIFICATION TEST
Author
  • MOHAMMAD MASUDUR RAHMAN
  • LAILA ARJUMAN ARA
  • ZHENLONG ZHENG
Physical Description
  • article
Notes
  • This paper examines a wide variety of popular volatility models for stock index return, including Random Walk model, Autoregressive model, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, and extensive GARCH model, GARCH-jump model with Normal, and Student t-distribution assumption as well as nonparametric specification test of these models. We fit these models to Dhaka stock return index from 20 November 1999 to 9 October 2004. There has been empirical evidence of volatility clustering, alike to findings in previous studies. Each market contains different GARCH models, which fit well. From the estimation, we find that the volatility of the return and the jump probability were significantly higher after 27 November 2001. The model introducing GARCH jump effect with normal and Student t-distribution assumption can better fit the volatility characteristics. We find that RW-GARCH-t, RW-AGARCH-t RW-IGARCH-t and RW-GARCH-M-t can pass the nonparametric specification test at 5% significance level. It is suggested that these four models can capture the main characteristics of Dhaka stock return index.
  • GARCH-jump, nonparametric specification test, t-distribution
  • RePEc:wsi:serxxx:v:54:y:2009:i:01:p:101-121
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment