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.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Modelling Stock Return Volatility in India |
| English Title: | Modelling Stock Return Volatility in India |
| Language: | English |
| Keywords: | Clustering Volatility, BSE SENSEX, ARCH Effects, asymmetric information |
| Subjects: | G - Financial Economics > G0 - General > G00 - General |
| Item ID: | 86673 |
| Depositing User: | PRIYANKA PRIYANKA SAHU |
| Date Deposited: | 13 May 2018 08:29 |
| Last Modified: | 27 Sep 2019 04:04 |
| References: | Karunanithy Banumathy Kanchi Mamunivar and Ramachandran Azhagaiah Kanchi Mamuniva “Modelling Stock Market Volatility: Evidence from India “Managing Global Transitions 13 (1): 27–42. CMA Potharla Srikanth, “Modelling Stock Market Volatility: Evidence from India Modelling Asymmetric Volatility in Indian Stock Market”. Pacific Business Review International Volume 6, Issue 9, March 2014 Snehal Bandivadekar and Saurabh Ghosh “Derivatives and volatility on Indian Stock Markets “Reserve Bank of India Occasional Papers Vol. 24, No. 3 Winter 200 |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/86673 |
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