Chhimwal, Bhaskar; Bapat, Varadraj - In: Cogent economics & finance 8 (2020) 1, pp. 1-14
Volatility is one of the most important factors of investment decisions. Unexpected information forces the investor to … trade abnormally in the market which in turn affects the volatility of the market. But this kind of trading behavior has a … volatility of large-cap, mid-cap and, small-cap stocks in Indian markets. Using ARMA (1, 1) and TGARCH (1, 1) model, we estimate …