Abstract
Stock price volatility is an indication of unreasonable market performance in Bangladesh although stock prices produce valuable information to safeguarding competence of capital markets. The objective of this paper is to study the volatility and forecasting volatility of selected Banks of Dhaka Stock Exchange (DSE) by using Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models. The volatility of DSE returns of selected banks Brac bank, City Bank, Pubali bank and Eastern bank have been modelled for a period of 2008 to 2018 on the basis of daily scale. The asymmetric volatility model E-GARCH and GJR-GARCH performs better in modelling volatility of selected banks of DSE. There is a significant impact of positive shocks on volatility for Brac and Eastern bank whereas for City bank negative shocks tends to produce higher volatility. Volatility is persistent for City, Pubali and Eastern bank meaning that in upcoming days they could be affected by volatility. The fitted models for Brac, City and Eastern banks performed well in back testing while Pubali bank do not perform well. In upcoming days all banks volatility will have chance to be increasing where Brac bank is less volatile and Pubali bank is most volatile bank of DSE.
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Article Details
- Year: 2021
- Volume: 42
- Issue: 1
- Pages: 117 - 142
- Accepted: 09.10.2020
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DOI:
https://doi.org/10.5281/zenodo.16925231 -
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How to Cite?
Hossain, M.S, Baten, M.A, Mukta, F. B. (2021). Forecasting Volatility of Selected Banks of Dhaka Stock Exchange (DSE), Bangladesh with GARCH (p, q) Type Models. Journal of Economic Cooperation and Development, 42(1), 117-142. https://doi.org/10.5281/zenodo.16925231
