Please use this identifier to cite or link to this item: http://repository.kln.ac.lk/handle/123456789/14535
Title: Equity Market Volatility Behavior in Sri Lankan Context
Authors: Morawakage, P.S.
Nimal, P.D.
Keywords: Volatility
GARCH
EGARCH
TGARCH
CSE
Clustering
Leverage
Issue Date: 2015
Publisher: University of Kelaniya
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.
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.
URI: http://repository.kln.ac.lk/handle/123456789/14535
Appears in Collections:Volume 04 - 2015

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