A Statistical Analysis of the Colombo Stock Returns

Zili Zhang and Saralees Nadarajah

Global Business Review, 2021, vol. 22, issue 1, 101-118

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.

Keywords: APARCH; ARMA; GARCH; GJR-GARCH; VaR (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:sae:globus:v:22:y:2021:i:1:p:101-118

DOI: 10.1177/0972150918797196

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