Modelling Stock Returns Volatility on Uganda Securities Exchange

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

Abstract:

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.

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