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Equity Market Volatility Behavior in Sri Lankan Context

Show simple item record Morawakage, P.S. Nimal, P.D. 2016-10-14T03:45:46Z 2016-10-14T03:45:46Z 2015
dc.identifier.citation Morawakage, P.S. and Nimal, P.D. (2015). Equity Market Volatility Behavior in Sri Lankan Context, Kelaniya Journal of Management, University of Kelaniya, 04(02): 01-09. en_US
dc.description.abstract Colombo Stock Exchange (CSE) in Sri Lanka is at its first level of emerging markets. Volatility of emerging markets are considered to be high and characterized by complex features. Therefore, this study focusses on examining the volatility behavior of Colombo Stock Exchange with advanced econometric models. Here GARCH, EGARCH and TGARCH models are used to capture the complex volatility features. It is observed that volatility clustering and leverage effect exists in Colombo Stock Exchange. Further, negative shocks creates more volatility compared to a positive shocks generated in the market. TGARCH model assuming student-t probability distribution function is more suitable to explain the volatility in Colombo Stock Exchange among the models described above according to the Akaike and Schwarz information criteria. en_US
dc.language.iso en en_US
dc.publisher University of Kelaniya en_US
dc.subject Volatility en_US
dc.subject GARCH en_US
dc.subject EGARCH en_US
dc.subject TGARCH en_US
dc.subject CSE en_US
dc.subject Clustering en_US
dc.subject Leverage en_US
dc.title Equity Market Volatility Behavior in Sri Lankan Context en_US
dc.type Article en_US

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