Abstract
This study examined the stock returns volatility in Dar es Salaam Stock Exchange for the year 1998 through 2018 period. The study employed quantitative research design on time series data in which autoregressive conditional heteroskedasticity and generalised autoregressive conditional heteroskedasticity models were used determine the existence of volatility. The study employed Win Rat and E-views Econometric software for data analysis. Serial correlation and unit root analysed to determine seasonal dependencies of the stock market returns and stationarity, respectively. Results showed that all-time series of returns were non-stationary except at market level and volatility of stock returns had a constant decaying coefficient value of 0.75 per trading period. The study concluded that the shocks to volatility were more persistent and had a slower and constant decaying rate in various trading periods in DSE. Therefore, it was recommended that the public should buy and sell shares in the market.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: African J. of Economic and Sustainable Development
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
