Forecasting Daily Stock Volatility Using GARCH Model: A Comparison Between BSE and SSE

Sasikanta Tripathy and Abdul Rahman

The IUP Journal of Applied Finance, 2013, vol. 19, issue 4, 71-83

Abstract: Modeling and forecasting the volatility of stock markets has been one of the major topics in financial econometrics in recent years. Based on the daily closing value of 23 years data, an average of 5,605 observations, for both Sensex and Shanghai Stock Exchange Composite Index, this paper makes an attempt to fit appropriate GARCH model to estimate the conditional market volatility for both Bombay Stock Exchange (BSE) and Shanghai Stock Exchange (SSE), respectively. The empirical results demonstrate that there are significant ARCH effects in both the stock markets, and it is appropriate to use the GARCH model to estimate the process.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjaf:v:19:y:2013:i:4:p:71-83

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