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- Title
Application of GARCH Models for Volatility Modeling of Stock Market Returns: Evidence from Indian Stock Exchange.
- Authors
Mathur, Neeti; Mathur, Himanshu; Tiwari, Satish Chandra
- Abstract
Stock markets significantly contribute to the economic development of any nation. They have a volatile character, which results in uncertainty of the returns; the variability causes volatility in speculative market prices and instability of business performance. Volatility plays a significant role in the investors, managers, policymakers and researchers' financial decisions as it can assess the risk exposures in their investments and the uncertainty in stock returns. The risk-averse investor avoids investment in a highly volatile market. The stock return forecasting leads to volatility forecasting. The paper analyzes the volatility concerning the Bombay Stock Exchange. The daily data of S&P Sensex 30 has been collected and used to calculate the volatility for the last 3 years (April 2016 to March 2019). The preliminary analysis is done based on descriptive statistics stationery test, normality test and serial correlation test. Volatility modeling is done by the ARCH and GARCH family models. The findings help investors make the right investment decisions in the Indian stock market in the presence of its volatile character.
- Subjects
STOCK exchanges; VOLATILITY (Securities); RATE of return on stocks; BSE Ltd.; STANDARD &; Poor's Financial Services LLC; GARCH model; MARKET exposure (Investments); STOCK transfer
- Publication
IUP Journal of Accounting Research & Audit Practices, 2021, Vol 20, Issue 2, p45
- ISSN
0972-690X
- Publication type
Article