Modelling Stock Return Volatility in India

Sujata Kumari

MPRA Paper from University Library of Munich, Germany

Abstract: This paper empirically estimates the clustering volatility of the Indian stock market by considering twelve indicators of BSE SENSEX. The cluster volatility has been estimated through ARCH family models such as ARCH, GARCH, IGARCH, GARCH-M, EGARCH, TARCH, GJR TARCH, SAARCH, PARCH, NARCH, NARCHK, APARCH, and NPARCH.

Keywords: Clustering Volatility; BSE SENSEX; ARCH Effects; asymmetric information (search for similar items in EconPapers)
JEL-codes: G00 (search for similar items in EconPapers)
Date: 2018-03-10
New Economics Papers: this item is included in nep-fmk and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:86673

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