The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …

normality and the return series are volatility clustering. It is also obvious for study that GARCH family can be used to predict …Purpose: This paper examines the volatility of stock return in Dhaka stock exchange, BangladeshMethodology: Using … Random Walk model (RW), Autoregressive model (AR), Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model …