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Forecasting Volatility – Evidence from Indian Stock and Forex Markets

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dc.contributor.author Kumar, S.S.S.
dc.date.accessioned 2015-04-22T09:33:47Z
dc.date.available 2015-04-22T09:33:47Z
dc.date.issued 2006
dc.identifier.uri http://hdl.handle.net/2259/396
dc.description.abstract Volatility forecasting is an important area of research in financial markets and lot of effort has been expended in improving volatility models since better forecasts translate in to 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 in 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 the sample forecasts and a majority of evaluation measures we find that GARCH (4, 1) and EWMA methods will lead to better volatility forecasts in the Indian stock market and the GARCH (5, 1) 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 Indian Institute of Management Kozhikode en_US
dc.subject Forex Markets en_US
dc.subject Stock Market en_US
dc.title Forecasting Volatility – Evidence from Indian Stock and Forex Markets en_US
dc.type Working Paper en_US

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