Volatility and Its Persistence in Indian Stock Market: A Case Study of 30 SCRIPS

This paper applies Autoregressive Conditional Heteroskedasticity (ARCH) methodology to model volatality and its persistence based on daily returns(1992-96) of 30 blue-chip securities traded in Bombay Stock Exchange. The results of the Study show that the variance of returns varies over time and that the ARCH and GARCH models capture the volatility persistence.

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Year of publication:	2000
Authors:	Mohanty, Pravir Kumar ; Kamaiah, B
Institutions:	Institute for Social and Economic Change (ISEC)
Subject:	Stock Market \| Volatility

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 53 28 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010854988