Impact study of volatility modelling of Bangladesh stock index using non-normal density

DOI10.1080/02664760802320574zbMath1253.62078OpenAlexW2087161020MaRDI QIDQ3183849

Md. Mostafizur Rahman, M. Sayedur Rahman, Jian-Ping Zhu

Publication date: 21 October 2009

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760802320574

zbMATH Keywords

GARCHrandom walkasymmetric GARCHgeneralized error distributionStudent's \(t\)-distributionnonparametric specification test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

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• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Forecasting Stock Market Volatility with Regime-Switching GARCH Models
• A Test for Normality of Observations and Regression Residuals
• Remarks on a Multivariate Transformation

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