Modeling Volatility in Emerging Stock Markets Of India And China

Prashant Joshi ()
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Prashant Joshi: Shrimad Rajchandra Institute of Management and Computer Application, Surat

Journal of Quantitative Economics, 2010, vol. 8, issue 1, 86-94

Abstract: The study investigated the stock market volatility in the emerging stock markets of India and China using daily closing price from 1st January, 2005 to 12th May, 2009. The results detect the presence of non-linearity through BDSL test while conditional Heteroscedasticity is identified through ARCH-LM test. The findings reveal that the GARCH(1,1) model successfully captures nonlinearity and volatility clustering. The analysis suggests that the persistence of volatility in Chinese stock market is more than Indian stock market.

Keywords: Volatility clustering; nonlinearity; BDSL; GARCH (search for similar items in EconPapers)
JEL-codes: C32 G14 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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