Alam, Md. Zahangir; Siddikee, Md. Noman; Masukujjaman, Md. - In: International Journal of Financial Research 4 (2013) 2, pp. 126-143
general indices by using the daily data. GARCH, EGARCH, PARCH, and TARCH models are used as benchmark models for the study … except GARCH and TARCH models are regarded as the best model jointly for DSE20 index returns series, while for DSE general … models except GARCH are considered as the best model jointly for DSE20 index returns series, while ARCH model is selected as …