简介：Thegeneralizedautoregressiveconditionalheteroskedasticity(GARCH)typemodelsareusedtoinvestigatethevolatilityofBangladeshstockmarket.Thefindingsofthestudydemonstratethattheindexvolatilitycharacteristicschangesovertime.Thearticleshowsthatthedataaredividedintothreesub-periods:precrisis,crisis,andpostcrisis.Accordingly,theresultsofthefindingsindicatechangesintheGARCH-typemodelsparameter,riskpremiumandpersistenceofvolatilityindifferentperiods.Asignificant'low-yieldassociatedwithhigh-risk'phenomenonisdetectedinthecrisisperiodandthe'leverageeffect'occursineachperiods.Theinvestorsareirrationalwhichisbasedonassumptionofriskandreturncharacteristicsofassets.Consequently,themarketisnotasmatureasdevelopedmarket.Itisfoundinthearticlethatthethresholdgeneralizedautoregressiveconditionalheteroskedasticity(TGARCH)modelismoreaccurateforthemodelaccuracy.Additionally,statisticerrormeasurementsindicatethatGARCHmodelismoreefficientthanothersandithasalsomoreforecastingability.

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