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Modeling Stock Return Volatility In Mongolian Stock Market, Munkhtsog Altankhuu

Theses

This paper is one of the first research works to examine the stock index volatility in the Mongolian Stock Exchange. The study utilizes the Generalized Autoregressive Conditional Heteroscedasticity (GAR CH) models to estimate volatility of stock market return of the Mongolian Stock Exchange. A number of prior research work demonstrated that ARCH and GARCH models are fruitful models for modeling volatility of time series data. However, they recommend using different versions of GARCH-type models for different distributions (Normal, Student's t, Skewed Student's t and Generalized Error Distribution) for emerging markets or developing markets. This paper compares the GARCH(l, 1) model …