Abstract:
The objective of this paper is to analyse and modelling the volatility of Colombo Consumer Price Index (CCPI) in Sri Lanka
using monthly data from January 2008 to April 2014. Three types of GARCH models (GARCH, TGARCH and EGARCH)
were used for this study. Using various specifications for mean equation, study estimated GARCH (1, 1), TGARCH (1, 1) and
EGARCH (1, 1) for CCPI. The estimation results reveal that ARMA (1, 0) - EGARCH (1, 1) comes out to be most appropriate
specification for modelling CCPI volatility. The study finds that, no evidence of symmetry in the response of CCPI volatility
to negative and positive shocks.
