the daily and weekly return series. For the Indian stock market, the recommended volatility estimation and forecasting …. This paper aims to search the best model to estimate and forecast volatility of Indian and Chinese stock market. The data …, we found the GARCH (1,1) model as the best model to estimate and forecast the volatility of Chinese stock market for both …

This paper investigates the empirical relationship between return, volume and volatility dynamics of stock market by … using data of the NIFTY index of NSE during the period from Jan 2007 to March 2014. The volatility in the Indian stock …, when we compare the GARCH, EGARCH and TARCH models, on the basis of AIC and SC criteria. Causality from volatility to …

2). Monthly level data representing macroeconomic volatility has been incorporated from the trading economics website …

The leverage effect or asymmetric effect is defined as the unequal influence of negative shock on volatility in … comparison with positive shock. The negative shocks or the bad news seems to have larger influence on next period volatility. The … objective of this study is to test the presence of volatility clustering and long-term memory features in Indian capital market …

The objective of this article is to investigate the volatility asymmetry, volatility-volume relationship by considering …-GARCH models to examine the volatility pattern in the stock market. Second, both contemporaneous and lagged trading volumes are … augmented in the volatility model to empirically verify the validity of Mixture of Distribution Hypothesis (MDH) and Sequential …