Abstract
Purpose: This paper examines the volatility of stock return in Dhaka stock exchange, Bangladesh Methodology: Using Random Walk model (RW), Autoregressive model (AR), Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, and extensive GARCH model with Normal, and Student t-distribution. The data span for the study from 04 January 2004 to 14 September 2015. Findings: The study revealed that daily return of DSE are leptokurtic, significant skewness, deviation from normality and the return series are volatility clustering. It is also obvious for study that GARCH family can be used to predict volatility of stock return in Dhaka stock exchange (DSE).
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