How efficient the GARCH type volatility models are? Evidence from Dhaka Stock Index

Engle and Patton (2000) point out that a volatility model must have the forecasting ability, this is the central requirement. They explore the stylized factors of volatility and observe the ability of GARCH type models to capture those features. In this paper, we aim to evaluate the ability of GARCH type models to capture the stylized factors of Dhaka Stock Exchange (DSE) returns volatility. We consider the sample period from 27^th November 2001 to 31^st July 2013 for DSE general index and estimate GARCH type models. We made a comparative of different GARCH type models for capturing the stylized factors of the stock index return's volatility