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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...

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Main Authors: Md. Jamal Hossain,, Akter, Sadia, Mohd Tahir Ismail,
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2021
Online Access:http://journalarticle.ukm.my/18785/1/jeko_552-2-2.pdf
http://journalarticle.ukm.my/18785/
https://www.ukm.my/jem/issue/v55i2/
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spelling my-ukm.journal.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/
institution Universiti Kebangsaan Malaysia
building Tun Sri Lanang Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kebangsaan Malaysia
content_source UKM Journal Article Repository
url_provider http://journalarticle.ukm.my/
language English
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.
format Article
author Md. Jamal Hossain,
Akter, Sadia
Mohd Tahir Ismail,
spellingShingle Md. Jamal Hossain,
Akter, Sadia
Mohd Tahir Ismail,
Performance analysis of GARCH family models in three time-frames
author_facet Md. Jamal Hossain,
Akter, Sadia
Mohd Tahir Ismail,
author_sort Md. Jamal Hossain,
title Performance analysis of GARCH family models in three time-frames
title_short 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_sort performance analysis of garch family models in three time-frames
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 2021
url http://journalarticle.ukm.my/18785/1/jeko_552-2-2.pdf
http://journalarticle.ukm.my/18785/
https://www.ukm.my/jem/issue/v55i2/
_version_ 1736834965426929664
score 13.235796

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