Determining Historical Volatility in Emerging Markets Using Advanced GARCH Models

22 Pages Posted: 3 Sep 2012

Date Written: September 3, 2012

Abstract

This paper models the volatility present in the historical returns in the stock of the two major national indices of India. Sensitive Index or Sensex related to Bombay Stock Exchange (BSE) and Nifty associated with National Stock Exchange (NSE). The objective is to model the phenomena of volatility clustering and persistence of shock using asymmetric GARCH family of models. Research showed that EGARCH model successfully models the Sensex (BSE) data whereas it is GJR-GARCH which was able to explain conditional variance in the returns from Nifty (NSE).

Keywords: historical volatility, GARCH, emerging markets, NSE, SENSEX

JEL Classification: B23, B14, C32, N25

Suggested Citation

Sinha, Bhaskar, Determining Historical Volatility in Emerging Markets Using Advanced GARCH Models (September 3, 2012). Available at SSRN: https://ssrn.com/abstract=2140647 or http://dx.doi.org/10.2139/ssrn.2140647

Bhaskar Sinha (Contact Author)

Holy Mary Business School ( email )

Dharham Karam Road, Ameerpet
Hyderabad, Andhra Pradesh
India

HOME PAGE: http://www.holymary.org.in

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