We have examined the predictive power of GARCH model to forecast return volatility for Nifty 50 index. Realized volatility, which is the sum of intraday squared returns, is used as the proxy for the true volatility. Three models of the GARCH family have been used to forecast return volatility...

We use tick-by-tick data for one energy futures (crude oil) and four metal futures (gold, silver, copper, and zinc) traded at Multi-Commodity Exchange India Limited (MCX) for the period of four years from January 1, 2009 to December 31, 2012. We test and find support for the Mixture...