Volatility in Stock Markets of India and Canada

Prashant Joshi and Kiran Pandya

The IUP Journal of Applied Economics, 2012, vol. XI, issue 4, 72-79

Abstract: : The study investigates volatility in the stock markets of India and Canada using daily closing price data for the period from January 2002 to July 2009. Various volatility and diagnostic tests suggest certain stylized facts about volatility like volatility clustering and mean reverting behavior. ARCH-LM test suggests the presence of conditional heteroscedasticity in both the stock markets. The findings reveal that the GARCH(1, 1) model successfully captures the time-varying volatility in the stock markets. The analysis suggests persistence of volatility in the stock markets. However, the persistence of volatility in Canadian stock market is marginally more than that of Indian stock market.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjae:v:11:y:2012:i:4:p:72-79

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