Please use this identifier to cite or link to this item: http://ir.lib.seu.ac.lk/handle/123456789/61
Title: Performance of garch models in forecasting the exchange rate volatility of saarc countries
Authors: Rahman, Mostafizur
Rahman Khan, Atikur
Jahufer, Aboobacker
Ping, Zhu Jian
Keywords: ARCH-model
GARCH model
IJung-Box Stat
Jarque-Berra Test
Issue Date:  10
Publisher: Faculty of Management and Commerce South Eastern University of Sri Lanka Oluvil # 32360 Sri Lanka
Citation: Journal of management. Volume IV. No. 1. pp 68-73. October 2006
Abstract: Volatility plays a key role in asset and portfolio management, derivatives pricing as well as exchange rate forecasting. In this paper we find out the performance of the Linear GARCH and Non-linear GARCH model for forecasting the exchange rate volatility of 'SAJ\RC countries. Using the data from seven SAARC countries we have found that non-linear GARCH model gives better results and good forecasting performance for Maldives, Nepal, Pakistan and Sri Lanka whereas linear GARCH model gives better result and good forecasting performance for Bangladesh, Bhutan, and India.
URI: http://ir.lib.seu.ac.lk/123456789/61
ISSN: 1391-8230
Appears in Collections:Volume 4. Issue.1

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