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Performance Analysis of GARCH Family Models in Three Time-frames

Author

Listed:
  • Hossain, Md. Jamal

    (School of Mathematical Sciences Universiti Sains Malaysia 11800 USM Penang MALAYSIA. Department of Applied Mathematics Noakhali Science and Technology University Noakhali-3814 BANGLADESH)

  • Akter, Sadia

    (Department of Accounting and Information Systems University of Rajshahi Rajshahi-6205 BANGLADESH.)

  • Ismail, Mohd Tahir

    (School of Mathematical Sciences Universiti Sains Malaysia 11800 USM Penang MALAYSIA.)

Abstract

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

Suggested Citation

  • Hossain, Md. Jamal & Akter, Sadia & Ismail, Mohd Tahir, 2021. "Performance Analysis of GARCH Family Models in Three Time-frames," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(2), pages 15-28.
    • Handle: RePEc:ukm:jlekon:v:55:y:2021:i:2:p:15-28
    DOI: http://dx.doi.org/10.17576/JEM-2021-5502-2
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    More about this item

    Keywords

    GARCH models; crisis; error statistics; p-value; volatility;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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