This article analyses the volatility forecasting performance of the GARCH models based on various distributional assumptions in the context of stock market indices and exchange rate returns. Using rollover methods to construct the out-of-the-sample volatility forecasts, this study shows that the...

This article examines the informational content of the basis under positive and negative prior shocks, and its linkage to the relationship between the Indian stock index spots and futures contracts. The leading role of the futures market in the spot markets is confirmed. Furthermore, the...