Modelling Stock Return Volatility in India

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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Year of publication:	2018-03-10
Authors:	Kumari, Sujata

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Kumari, Sujata (2018): Modelling Stock Return Volatility in India.
Classification:	G00 - Financial Economics. General
Source:	BASE

Persistent link: https://www.econbiz.de/10015260363