Comparative Comparison of Stock Price Volatility Estimation by Garch and Bootstrap Garch

Document Type : Original Paper


Department of Management,, Faculty of Economic and Social Sciences, Shahid Chamran University of Ahvaz,, Ahvaz, Iran


Since volatility measurement plays an important role in risk assessment and uncertainty in financial markets, this study provides an appropriate method for predicting stock pricefluctuations using the GARCH and Bootstrap Garch method. And then compare the confidence intervals by the two methods. The research data were collected by reviewing the statistics of the companies listed in the list of the top 50 companies in the securities market. The results show that the confidence interval of the Bootstrap Garch method is shorter than the Garch method,so the Bootstrap Garch method provides a more accurate prediction than the GARCH method. In addition, it is usually expected to increase with the increase in horizons of prediction of variance, but this does not occur for the Garch (1.1) method; therefore, it seems that the prediction of the variance of the Bootstrap GARCH model has more compatibility with theoretical evidence.


Main Subjects

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