Indian Journal of Finance
By: Associated Management Consultants (P) Ltd.Single Issue
Single Issue
- IJF-June11-Article4-Volatility Estimation In The Indian Stock Market Using Heteroscedastic Models
- Price : 80.00
- Published on June 2, 2011
- Associated Management Consultants (P) Ltd.
- Issues 356
- Language - English
- Published daily
About this issue
The Indian stock market is experiencing tremendous changes since the past few years. In the recent past, the market witnessed erratic fluctuations in stock prices. The unexpected shocks over time lead to ups and downs in the market and hence, large swings in price. This unpredictable change over time has to be measured as it represents the uncertainty and risk. The estimation of this unpredictable change, the so called volatility, is indispensable in any economy as it is an integral part of any investment or financial decisions such as asset allocations, derivative pricing or risk management. In this paper, we discuss different mathematical models to model the volatility of the stock market in general and apply it to Indian context to pin down one, that captures the irregular behavior of the Indian stock market.
About Indian Journal of Finance
Indian Journal of Finance, a source of sophisticated analysis of developments in the rapidly expanding world of finance, is a monthly journal with topics ranging from corporate to personal finance, insurance to financial economics and derivatives.