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Modeling Stock Market Volatility in Emerging Markets: Evidence from India

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  • Sinha, Bhaskar

Abstract

This study models the volatility present in the inter day 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).

Suggested Citation

  • Sinha, Bhaskar, 2007. "Modeling Stock Market Volatility in Emerging Markets: Evidence from India," MPRA Paper 102455, University Library of Munich, Germany, revised 2009.
    • Handle: RePEc:pra:mprapa:102455
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    References listed on IDEAS

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    More about this item

    Keywords

    GARCH; Volatility; Index;
    All these keywords.

    JEL classification:

    • N2 - Economic History - - Financial Markets and Institutions
    • N25 - Economic History - - Financial Markets and Institutions - - - Asia including Middle East

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