Mohanty, Pravir Kumar; Kamaiah, B - Institute for Social and Economic Change (ISEC) - 2000
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...