Modelling Stock Return Volatility in India

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

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
• Language: English
• Keywords: Clustering Volatility, BSE SENSEX, ARCH Effects, asymmetric information
• Subjects: G - Financial Economics > G0 - General > G00 - General

References

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Snehal Bandivadekar and Saurabh Ghosh “Derivatives and volatility on Indian Stock Markets “Reserve Bank of India Occasional Papers Vol. 24, No. 3 Winter 200