Open Access Open Access  Restricted Access Subscription Access

Forecasting the Volatilities of Philippine Stock Exchange Composite Index Using the Generalized Autoregressive Conditional Heteroskedasticity Modeling

Novy Ann M. Etac, Roel F. Ceballos

Abstract



This study was conducted to find an appropriate statistical model to forecast the volatilities of PSEi using the model Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Using the R software, the log returns of PSEi is modeled using various ARIMA models and with the presence of heteroskedasticity, the log returns was modeled using GARCH. Based on the analysis, GARCH models are the most appropriate to use for the log returns of PSEi. Among the selected GARCH models, GARCH (1,2) has the lowest AIC value and also has the highest LL value implying that GARCH (1,2) is the best model for the log returns of PSEi.

Keywords


Time Series Analysis, Philippine Stock Exchange (PSEi), Volatility, Generalized Autoregressive Conditional Heteroskedasticity Modeling (GARCH), R

Full Text:

PDF


Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information. Also: DOI is paid service which provided by a third party. We never mentioned that we go for this for our any journal. However, journal have no objection if author go directly for this paid DOI service.