Alam, Md. Zahangir; Siddikee, Md. Noman; Masukujjaman, Md. - In: International Journal of Financial Research 4 (2013) 2, pp. 126-143
The main motive of this study is to investigate the use of ARCH model for forecasting volatility of the DSE20 and DSE general indices by using the daily data. GARCH, EGARCH, PARCH, and TARCH models are used as benchmark models for the study purpose. This study covers from December 1, 2001 to...
