Abstract:
This paper fits Exponential Generalized Auto-Regressive
Conditional Heteroskedasticity (EGARCH) and Threshold GARCH
(TGARCH) models to the daily closing All Share Price Index (ASPI) of
Colombo Stock Exchange (CSE) for the War and Post-war Periods to
recognize the leverage and news impact in CSE. The empirical results
indicate that the news impact is symmetric and the leverage effect does not
exist during the war periods. However, in the post-war period leverage effect
exists and the news impact is asymmetric. During both these periods a
positive returns shock to CSE produces lower volatility than a negative
returns shock. Also the relationship between volatility and returns is
negative for both the periods
