Garch models indian stock market volatility
Please note that Internet Explorer version 8. Please refer to this blog post for more information.
This paper models time-varying volatility in one of the Indian main stock markets, namely, the National Stock Exchange NSE located in Mumbai, investigating whether it has been affected by the recent global financial crisis. A Chow test indicates the presence of a structural break. Both symmetric and asymmetric GARCH models suggest that the volatility of NSE returns is persistent and asymmetric and has increased as a result of the crisis.
The model under the Generalized Error Distribution appears to be the most suitable one. However, its out-of-sample forecasting performance is relatively poor. Journals Books Register Sign in Sign in using your ScienceDirect credentials Username. Forgotten username or password? Sign in via your institution OpenAthens Other institution Recent Institutions. Sign in using your ScienceDirect credentials Username.
JavaScript is disabled on your browser. Please enable JavaScript to use all the features on this page.
Review of Development Finance Volume 5, Issue 2 , December , Pages open access. Modelling time-varying volatility in the Indian stock returns: Author links open the author workspace. Opens the author workspace a.
Numbers and letters correspond to the affiliation list. Click to expose these in author workspace Luis A. Opens the author workspace Opens the author workspace b.
Volatility in Indian Stock MarketsJournal of Emerging Market Finance - R. Krishnan, Conan Mukherjee,
Open Access funded by Africagrowth Institute. Under a Creative Commons license.
Abstract This paper models time-varying volatility in one of the Indian main stock markets, namely, the National Stock Exchange NSE located in Mumbai, investigating whether it has been affected by the recent global financial crisis.
Peer review under responsibility of Africagrowth Institute. Production and hosting by Elsevier B.
Elsevier About ScienceDirect Remote access Shopping cart Contact and support Terms and conditions Privacy policy. Cookies are used by this site. For more information, visit the cookies page.