IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Forecasting Volatility of BSE-30 Index Using Econometric Models

Listed author(s):
  • Ravi Madapati
Registered author(s):

    Volatility permeates modern financial theories and decision-making processes. As such, accurate measures and good forecasts of volatility are critical for implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modelling the temporal dependencies in financial market volatility. Employing daily Indian data, this study examines the performance of volatility forecasting techniques. Although the choice of the model is sensitive to the error statistic chosen, when a different evaluation method was used the ARCH class of models clearly performed well.

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Article provided by IUP Publications in its journal The IUP Journal of Financial Economics.

    Volume (Year): I (2003)
    Issue (Month): 1 (December)
    Pages: 31-55

    in new window

    Handle: RePEc:icf:icfjfe:v:01:y:2003:i:1:p:31-55
    Contact details of provider:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:icf:icfjfe:v:01:y:2003:i:1:p:31-55. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (G R K Murty)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.