Determining Historical Volatility in Emerging Markets Using Advanced GARCH Models
22 Pages Posted: 3 Sep 2012
Date Written: September 3, 2012
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: Suggested Citation