Purpose: In the current study, the significance of extreme positive returns has been investigated in the pricing of stocks in the Indian equity market. This study aims to understand if investors in India have a preference for lottery-like stocks. The existing literature provides support for MAX...

This article investigates the heteroscedastic behaviour of the Indian stock market using different GARCH models. First, the standard GARCH approach is used to investigate whether stock return volatility changes over time and if so, whether it is predictable. Then, the EGARCH models are applied...

The purpose of the study is to estimate tail-related risk measures using extreme value theory (EVT) in the Indian stock market. The study employs a two stage approach of conditional EVT originally proposed by McNeil and Frey (2000) to estimate dynamic Value at Risk (VaR) and expected shortfall...