Volatility and Its Persistence in Indian Stock Market: A Case Study of 30 SCRIPS

Pravir Kumar Mohanty and B Kamaiah
Additional contact information
Pravir Kumar Mohanty: Institute for Social and Economic Change

No 53, Working Papers from Institute for Social and Economic Change, Bangalore

Abstract: This paper applies Autoregressive Conditional Heteroskedasticity (ARCH) methodology to model volatality and its persistence based on daily returns(1992-96) of 30 blue-chip securities traded in Bombay Stock Exchange. The results of the Study show that the variance of returns varies over time and that the ARCH and GARCH models capture the volatility persistence.

Keywords: Stock Market; Volatility (search for similar items in EconPapers)
Pages: 28 pages
Date: 2000
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.isec.ac.in/Volatility_and_its_persistence_in_India.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.isec.ac.in/Volatility_and_its_persistence_in_India.pdf [301 Moved Permanently]--> https://www.isec.ac.in/Volatility_and_its_persistence_in_India.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sch:wpaper:53

Access Statistics for this paper

More papers in Working Papers from Institute for Social and Economic Change, Bangalore Contact information at EDIRC.
Bibliographic data for series maintained by B B Chand ().