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Purpose - The purpose of this paper is to examine the effect of economic policy uncertainty (EPU) of China on …
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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 …
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There has been a marked increase in the magnitude of Foreign Institutional Investments (FIIs) into India since the 1990s, resulting in increased forex reserves and liquidity and a higher-valued Indian capital market. However, such investment is more volatile than other types of flows, causing...
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the presence of long-run relationship in model. GARCH (1,1) model has been applied for analyzing the volatility in the …
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