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Modelling Stock Return Volatility in India

Kumari, Sujata (2018): Modelling Stock Return Volatility in India.

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Abstract

This paper empirically estimates the clustering volatility of the Indian stock market by considering twelve indicators of BSE SENSEX. The cluster volatility has been estimated through ARCH family models such as ARCH, GARCH, IGARCH, GARCH-M, EGARCH, TARCH, GJR TARCH, SAARCH, PARCH, NARCH, NARCHK, APARCH, and NPARCH.

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