ASYMMETRIC VOLATILITY MODELING OF INDIAN STOCK MARKET

AMUDHA R

Abstract


The development of stock markets in India in the last two decades has been incredible and a study in terms of volatility have been perceptible in the current globalization era. The study examines the nature of the volatility in the Indian stock market the relation of National Stock Exchange (NSE) towards its sectoral indices perspective. The quality of risk measure, largely depends on how well the econometric modeling captures the behaviour of the underlying asset, inevitable to employ the ARCH and GARCH models that has satisfactorily explained the volatility clustering and its persistence, converging with the selected sectors of the Indian industry.


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ISSN : 2251-1547