Forecasting Volatility of BSE-30 Index Using Econometric Models

Ravi Madapati

The IUP Journal of Financial Economics, 2003, vol. I, issue 1, 31-55

Abstract: Volatility permeates modern financial theories and decision-making processes. As such, accurate measures and good forecasts of volatility are critical for implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modelling the temporal dependencies in financial market volatility. Employing daily Indian data, this study examines the performance of volatility forecasting techniques. Although the choice of the model is sensitive to the error statistic chosen, when a different evaluation method was used the ARCH class of models clearly performed well.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjfe:v:01:y:2003:i:1:p:31-55

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