EVALUATING THE PERFORMANCE OF GARCH FAMILY MODELS IN ESTIMATING INVESTMENT RISK AND VOLATILITY: A COMPARATIVE ANALYSIS OF SENSEX AND NIFTY INDEX IN INDIA

Santosh Kumar, Md. Alamgir, Birau Ramona, Bharat Kumar Meher, Abhishek Anand, Nioata (chireac) Roxana-Mihaela and Cirjan Nadia Tudora
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Santosh Kumar: DEPARTMENT OF COMMERCE, D. S. COLLEGE, KATIHAR (UNDER PURNEA UNIVERSITY, PURNIA), BIHAR, INDIA, POSTAL CODE – 854105
Md. Alamgir: DEPARTMENT OF APPLIED ECONOMICS AND COMMERCE, PATNA UNIVERSITY, PATNA
Birau Ramona: UNIVERSITY OF CRAIOVA, "EUGENIU CARADA" DOCTORAL SCHOOL OF ECONOMIC SCIENCES, CRAIOVA, ROMANIA
Bharat Kumar Meher: PG DEPARTMENT OF COMMERCE, PURNEA UNIVERSITY, PURNIA, BIHAR, INDIA, POSTAL CODE – 854301
Abhishek Anand: PG DEPARTMENT OF ECONOMICS, PURNEA UNIVERSITY, PURNIA, BIHAR, INDIA, POSTAL CODE – 854301
Nioata (chireac) Roxana-Mihaela: UNIVERSITY OF CRAIOVA, "EUGENIU CARADA" DOCTORAL SCHOOL OF ECONOMIC SCIENCES, CRAIOVA, ROMANIA
Cirjan Nadia Tudora: NATIONAL AGENCY FOR FISCAL ADMINISTRATION (ANAF), REGIONAL DIRECTORATE GENERAL OF PUBLIC FINANCE CRAIOVA

Annals - Economy Series, 2024, vol. 3, 222-238

Abstract: In order to evaluate and estimate significant aspects of time series data, various models with varying degrees of variation have been built in the last few years. The overarching goal of study is to examine the variance dynamics of several Indian stock market indexes using Normal and Students-t distributions. The sample data spans a long time period (more than 40 years), from April 1979 to May 2023, and includes dramatic happenings. The econometric method relies heavily on the GARCH models and other statistical investigations. The outcomes contribute to the growing body of knowledge in the field. The possible rewards and risks of an investment are the focus of this empirical study. The results encompass the dynamics of financial series, volatility sketching, a statistical and GARCH model feature assessment, and the fitness of series returns. This opens the door to different assessments of the Indian financial market.

Keywords: volatility clustering; financial market; empirical volatility; forecasting; GARCH models; stock index (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:cbu:jrnlec:y:2024:v:3:p:222-238

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