In this paper, an attempt has been made to model and forecast the short term volatility of the Indian banking sector. A … 2000; a total of 3122 observations up to the period of June 2013, are used in modeling the volatility of the banking stock …-Rissanen. As per the analysis, ARIMA (1,0,2) model was found to be the best fit to forecast the volatility of bank stock returns …

past domestic volatilities does not generally affect the mean and the volatility of the estimated thresholds. Specifically …, with the exception of the Italian market we find at least two volatility regimes, due to an asymmetric structure of … volatility as a function of bad and good domestic news. Moreover, in the majority of the series under scrutiny we also identify …