Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The present paper examines the issue of long memory in...

In this paper, an attempt has been made to determine the forecasting performance of symmetric and asymmetric volatility forecasting models in terms of error estimators using the intra-day of highly liquid stocks in Indian stock market. Superiority of forecasting performance of asymmetric GARCH...

The aim of the study is to provide an analytical analysis of co-integration between Indian and U.S stock market. The study used monthly average data from the stock indices namely, NSE Nifty (NSE) and NASDAQ Composite (NASDAQ), for the period from January 2010 to December 2018. A number of...

While most traditional science deals with supposedly predictable phenomena like gravity, electricity, or chemical reactions, Chaos Theory deals with nonlinear things that are effectively impossible to predict or control, like turbulence, weather, the stock market, our brain states, and so on....

[enter Abstract Body]The study attempts to find out investment strategy based on size effect results in companies to outperform the market index. The study aims to find out whether the size effect anomaly is present in Indian stock market. The sample consists of companies listed in BSE 500 Index...