Indian Journal of Finance
By: Associated Management Consultants (P) Ltd.Single Issue
Single Issue
- IJF-June12-Article3-FORECASTING PERFORMANCE OF VARIOUS VOLATILITY MODELS ON INTRA-DAY EQUITY PRICE IN THE INDIAN STOCK MARKET
- Price : 80.00
- Published on March 27, 2013
- Associated Management Consultants (P) Ltd.
- Issues 356
- Language - English
- Published daily
About this issue
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 the Indian stock market. Superiority of forecasting performance of asymmetric GARCH model over symmetric model has been established. Mathematics Subject Classification: 62H12, 62H30 Keywords : Volatility forecasting, Conditional Variance, Symmetric and Asymmetric GARCH models, Error Statistics.
About Indian Journal of Finance
Indian Journal of Finance, a source of sophisticated analysis of developments in the rapidly expanding world of finance, is a monthly journal with topics ranging from corporate to personal finance, insurance to financial economics and derivatives.