Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in India

Ramona Birau (), Jatin Trivedi () and Cristi Spulbar ()
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Ramona Birau: “Constantin Brancusi†University of Targu Jiu
Jatin Trivedi: National Institute of Securities Markets

Ovidius University Annals, Economic Sciences Series, 2021, vol. XXI, issue 1, 691-696

Abstract: This study evaluates performance of Indian index considering NIFTY MIDCAP 50 index daily series returns. Autoregressive model EGARCH forecasts the volatility predictability and empirically analyze volatility pattern considering daily returns from NIFTY 50 index. The study tests presence of asymmetry in volatility transmitting patterns, Movement of higher positive and negative magnitude of shocks and fitness of the model. For this purpose data series considered from October 2007 to April 2021 consisting 3321 daily observations. This empirical study also attempts to capture the opportunity for investment returns and involvement of risk. Findings provide financial series movement, volatility sketches, summary of statistics and property of EGARCH model and fitness of series returns in EGARCH model.

Keywords: emerging stock market; returns; volatility pattern; investment risk (search for similar items in EconPapers)
JEL-codes: G10 G11 G15 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:ovi:oviste:v:xxi:y:2021:i:1:p:691-696

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