Forecasting of stock price volatility: An evaluation Dr. Rajan G B Sabari Associate Professor-MBA, GRG School of Management Studies, Coimbatore, Tamil Nadu, India Email id: sabarirajan@grgsms.ac.in Online published on 16 October, 2019. 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 24 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. Top Keywords Clumping, Observations, Econometric, Volatility. Top |
|
Access denied
Your current subscription does not entitle you to view this content or Abstract is unavailable, the access to full-text of this Article/Journal has been denied. For Information regarding subscription please click here.
For a comprehensive list of other publications available on IJour.net please click here
or, You can subscribe other items from IJour.net (Click here to see other items list.)
Top