Performance of garch models in forecasting the exchange rate volatility of saarc countries

Rahman, Mostafizur; Rahman Khan, Atikur; Jahufer, Aboobacker; Ping, Zhu Jian

dc.contributor.author	Rahman, Mostafizur
dc.contributor.author	Rahman Khan, Atikur
dc.contributor.author	Jahufer, Aboobacker
dc.contributor.author	Ping, Zhu Jian
dc.date.accessioned	2015-07-21T06:09:16Z
dc.date.available	2015-07-21T06:09:16Z
dc.date.issued	10/1/2006
dc.identifier.citation	Journal of management. Volume IV. No. 1. pp 68-73. October 2006
dc.identifier.issn	1391-8230
dc.identifier.uri	http://ir.lib.seu.ac.lk/123456789/61
dc.description.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.	en_US
dc.language.iso	en	en_US
dc.publisher	Faculty of Management and Commerce South Eastern University of Sri Lanka Oluvil # 32360 Sri Lanka	en_US
dc.subject	ARCH-model	en_US
dc.subject	GARCH model	en_US
dc.subject	IJung-Box Stat	en_US
dc.subject	Jarque-Berra Test	en_US
dc.title	Performance of garch models in forecasting the exchange rate volatility of saarc countries	en_US
dc.type	Article	en_US