Modelling Stock Returns Volatility on Uganda Securities Exchange

Namugaya J, Charles WM. "Modelling Stock Returns Volatility on Uganda Securities Exchange." Applied Mathematical Sciences. 2014;8(104):5173-5184.


Stock returns volatility of daily closing prices of the Uganda Se- curities Exchange(USE) all share index over a period of 04/01/2005 to 18/12/2013 is Modelled. We employ different univariate Generalised Autoregressive Conditional Heteroscedastic(GARCH) models; both sym- metric and asymmetric. The models include; GARCH(1,1), GARCH-M, EGARCH(1,1) and TGARCH(1,1). Quasi Maximum Likelihood(QML) method was used to estimate the models and then the best performing model obtained using two model selection criteria; Akaike Information criterion(AIC) and Bayesian Information criterion(BIC). Overall, the GARCH(1,1) model outperformed the other competing models. This result is analogous with other studies, that GARCH(1, 1) is best.

UoN Websites Search