Volatility of Stock Prices in Tanzania: Application of Garch Models to Dar Es Salaam Stock Exchange

We use Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models to examine volatility of stock prices for firms listed in the Dar es Salaam Stock Exchange (DSE). In doing so, both symmetric and asymmetric GARCH are used this study. The descriptive analysis data shows that standard deviation series returns is high, indicating a high level daily fluctuations, log value mean close zero. Our empirical results clearly exhibit evidence clustering, typical feature financial time series. Moreover, our indicate highly leptokurtic, flat tailed consistent with characteristics data. Out all examined, EGARCH (1,1) seem perform plausibly better than others.