In this paper, an attempt has been made to model and forecast the short term volatility of the Indian banking sector. A popular banking sector CNX bank index of national stock exchange of India (NSE) which includes 12 most liquid and large capitalized Indian banking stocks is used as a time...

For stock market predictions, the essence of the problem is usually predicting the magnitude and direction of the stock price movement as accurately as possible. There are different approaches (e.g., econometrics and machine learning) for predicting stock returns. However, it is non-trivial to...