Rahman, Mostafizur; Rahman Khan, Atikur; Jahufer, Aboobacker; Ping, Zhu Jian
(Faculty of Management and Commerce South Eastern University of Sri Lanka Oluvil # 32360 Sri Lanka, 10/1/2006)
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 ...