{"id":2350,"date":"2021-06-05T00:16:06","date_gmt":"2021-06-04T16:16:06","guid":{"rendered":"https:\/\/www.ukm.my\/jem\/?post_type=article&#038;p=2350"},"modified":"2022-07-27T07:00:17","modified_gmt":"2022-07-26T23:00:17","slug":"performance-analysis-of-garch-family-models-in-three-time-frames","status":"publish","type":"article","link":"https:\/\/www.ukm.my\/jem\/article\/performance-analysis-of-garch-family-models-in-three-time-frames\/","title":{"rendered":"Performance Analysis of GARCH Family Models in Three Time-frames"},"content":{"rendered":"<p><span class=\"fontstyle0\">The proposed alternative p-value method can be used in finding the best performing models. The rank of the p-values namely t-test and z-test statistics can overcome the constraint imposed when using the Mean Absolute Percentage Error as the measurement error. It is crucial to select the right model in the right period so that the model can interpret volatility correctly. This study aimed to provide empirical analyses on the volatility of the Dhaka Stock Exchange market during the market crash in 2011. Three sub-samples were considered to represent pre-crisis, crisis, and post-crisis between November 16, 2009 to July 31, 2013 representing 889 observations. Various GARCH family models were fitted in order to capture the volatility and their performances were compared<\/span><\/p>\n","protected":false},"template":"","tags":[239,237,236,238,115],"jel-code":[240,241,242,243],"article-type":[1329],"class_list":["entry","author-jem","post-2350","article","type-article","status-publish","tag-crisis","tag-error-statistics","tag-garch-models","tag-p-value","tag-volatility","jel-code-c01","jel-code-c58","jel-code-e37","jel-code-g17","article-type-normal-article"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v28.8 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Performance Analysis of GARCH Family Models in Three Time-frames | Jurnal Ekonomi Malaysia<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.ukm.my\/jem\/article\/performance-analysis-of-garch-family-models-in-three-time-frames\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Performance Analysis of GARCH Family Models in Three Time-frames | Jurnal Ekonomi Malaysia\" \/>\n<meta property=\"og:description\" content=\"The proposed alternative p-value method can be used in finding the best performing models. The rank of the p-values namely t-test and z-test statistics can overcome the constraint imposed when using the Mean Absolute Percentage Error as the measurement error. It is crucial to select the right model in theContinue Reading\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.ukm.my\/jem\/article\/performance-analysis-of-garch-family-models-in-three-time-frames\/\" \/>\n<meta property=\"og:site_name\" content=\"Jurnal Ekonomi Malaysia\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/Jurnal-Ekonomi-Malaysia-JEM-104142808087485\" \/>\n<meta property=\"article:modified_time\" content=\"2022-07-26T23:00:17+00:00\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:site\" content=\"@EkonomiJurnal\" \/>\n<meta name=\"twitter:label1\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/article\\\/performance-analysis-of-garch-family-models-in-three-time-frames\\\/\",\"url\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/article\\\/performance-analysis-of-garch-family-models-in-three-time-frames\\\/\",\"name\":\"Performance Analysis of GARCH Family Models in Three Time-frames | Jurnal Ekonomi Malaysia\",\"isPartOf\":{\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/#website\"},\"datePublished\":\"2021-06-04T16:16:06+00:00\",\"dateModified\":\"2022-07-26T23:00:17+00:00\",\"breadcrumb\":{\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/article\\\/performance-analysis-of-garch-family-models-in-three-time-frames\\\/#breadcrumb\"},\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\\\/\\\/www.ukm.my\\\/jem\\\/article\\\/performance-analysis-of-garch-family-models-in-three-time-frames\\\/\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/article\\\/performance-analysis-of-garch-family-models-in-three-time-frames\\\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Articles\",\"item\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/article\\\/\"},{\"@type\":\"ListItem\",\"position\":3,\"name\":\"Performance Analysis of GARCH Family Models in Three Time-frames\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/#website\",\"url\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/\",\"name\":\"Jurnal Ekonomi Malaysia\",\"description\":\"Universiti Kebangsaan Malaysia\",\"publisher\":{\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/#organization\"},\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/?s={search_term_string}\"},\"query-input\":{\"@type\":\"PropertyValueSpecification\",\"valueRequired\":true,\"valueName\":\"search_term_string\"}}],\"inLanguage\":\"en-US\"},{\"@type\":\"Organization\",\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/#organization\",\"name\":\"Jurnal Ekonomi Malaysia\",\"url\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/\",\"logo\":{\"@type\":\"ImageObject\",\"inLanguage\":\"en-US\",\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/#\\\/schema\\\/logo\\\/image\\\/\",\"url\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/wp-content\\\/uploads\\\/2021\\\/05\\\/cropped-browser-icon-letter-1.png\",\"contentUrl\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/wp-content\\\/uploads\\\/2021\\\/05\\\/cropped-browser-icon-letter-1.png\",\"width\":512,\"height\":308,\"caption\":\"Jurnal Ekonomi Malaysia\"},\"image\":{\"@id\":\"https:\\\/\\\/www.ukm.my\\\/jem\\\/#\\\/schema\\\/logo\\\/image\\\/\"},\"sameAs\":[\"https:\\\/\\\/www.facebook.com\\\/Jurnal-Ekonomi-Malaysia-JEM-104142808087485\",\"https:\\\/\\\/x.com\\\/EkonomiJurnal\"]}]}<\/script>\n<!-- \/ Yoast SEO plugin. -->","yoast_head_json":{"title":"Performance Analysis of GARCH Family Models in Three Time-frames | Jurnal Ekonomi Malaysia","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/www.ukm.my\/jem\/article\/performance-analysis-of-garch-family-models-in-three-time-frames\/","og_locale":"en_US","og_type":"article","og_title":"Performance Analysis of GARCH Family Models in Three Time-frames | Jurnal Ekonomi Malaysia","og_description":"The proposed alternative p-value method can be used in finding the best performing models. 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