VARYING VOLATILITY WITH DIFFERENT MODELS: A STUDY WITH REFERENCE TO AUTOMOBILE SECTOR IN CNX NIFTY COMPANIES IN INDIA

Please use this identifier to cite or link to this item: http://localhost:8080/xmlui/handle/123456789/1901

Title:	VARYING VOLATILITY WITH DIFFERENT MODELS: A STUDY WITH REFERENCE TO AUTOMOBILE SECTOR IN CNX NIFTY COMPANIES IN INDIA
Authors:	G B, Sabari Rajan K, Prabhakaran
Keywords:	Automobile companies Econometric Model EGARCH Forecast Market
Issue Date:	May-2019
Publisher:	Zenith International Journal of Multidisciplinary Research,
Abstract:	This study is been conducted to forecast the market volatility using different econometric (ARCH) models and found the suitable model to measure the same. For the purpose of this study a sample of 48 automobile companies has been selected for research based on their market capitalization, which is classified under three categories - High, Medium and Low. The EGARCH model provides the most accurate forecast compared to other competing models in the study. The study also made few observations which may help the investors to understand better about the stock market.
URI:	http://localhost:8080/xmlui/handle/123456789/1901
ISSN:	2231-5780
Appears in Collections:	International Journals

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