Predicting the volatility in stock return of emerging economy: An empirical approach

Aastha Khera and Dr. Miklesh Prasad Yadav
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Aastha Khera: Kurukshetra University, Kurukshetra, India
Dr. Miklesh Prasad Yadav: Amity University, Noida, India

Theoretical and Applied Economics, 2020, vol. XXVII, issue 4(625), Winter, 233-244

Abstract: Investors become jittery when they do not earn return on their hard earned money. In the same time, they want to make their investment in safe place rather than losing it. For better return, they also want to estimate the volatility in stock market. The basic purpose of the present study is to forecast the volatility in stock return of emerging economies. For the same, the adjusted daily closing price of eleven countries is considered for five years. Generalized Autoregressive Conditional Heteroscedasticity (GARCH) has been applied to predict the stock return of these countries. The different orders of GARCH have been applied in predicting the volatility. It is found that the volatility of every stock return can be forecasted.

Keywords: emerging countries; stock return; GARCH. (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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