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A Statistical Analysis of the Colombo Stock Returns

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  • Zili Zhang
  • Saralees Nadarajah

Abstract

We study statistical properties of the daily log returns of the historical stock price indices of the Colombo Stock Exchange in Sri Lanka. We fitted the data by a range of time-series processes. The value at risk of the best model was computed.

Suggested Citation

  • Zili Zhang & Saralees Nadarajah, 2021. "A Statistical Analysis of the Colombo Stock Returns," Global Business Review, International Management Institute, vol. 22(1), pages 101-118, February.
    • Handle: RePEc:sae:globus:v:22:y:2021:i:1:p:101-118
    DOI: 10.1177/0972150918797196
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    References listed on IDEAS

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    5. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    6. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006. "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2295-2312, December.
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    More about this item

    Keywords

    APARCH; ARMA; GARCH; GJR-GARCH; VaR;
    All these keywords.

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