DSpace Repository

Comparative Performance of Volatility Forecasting Models in Indian Markets

Show simple item record

dc.contributor.author Kumar, S.S.S.
dc.date.accessioned 2015-04-22T07:29:50Z
dc.date.available 2015-04-22T07:29:50Z
dc.date.issued 2006
dc.identifier.uri http://hdl.handle.net/2259/384
dc.description Decision. Vol. 33, :No.2, July - December, 2006 en_US
dc.description.abstract Volatility forecasting is an important area of research to financial markets and lot of effort has been expended in improving volatility models since better forecasts translates into better pricing of options and better risk management. In this direction, this paper attempts to evaluate the ability of ten different statistical and econometric volatility forecasting models to the context of Indian stock and forex markets. These competing models are evaluated on the basis of two categories of evaluation measures – symmetric and asymmetric error statistics. Based on an out - of - sample forecasts and using a majority of evaluation measures Ire find that G.-I RCH 11. I, and EW.1 L4 methods will lead to Netter volatility forecasts in the Indian stock market and G.4RCH (5, I) will achieve the same in the forex market The same models perform better on the basis of asymmetric error statistics also. en_US
dc.language.iso en en_US
dc.publisher Decision en_US
dc.subject Volatility forecasting en_US
dc.subject Comparative performance en_US
dc.subject Asymmetric error statistics en_US
dc.subject Symmetric error statistics en_US
dc.title Comparative Performance of Volatility Forecasting Models in Indian Markets en_US
dc.type Article en_US

Files in this item

This item appears in the following Collection(s)

  • Journal Articles [16]
    This collection consists of published and nonpublished articles of IIMK Community.

Show simple item record

Search DSpace


My Account