Estimating Long-Term Volatility on National Stock Exchange of India

Estimating Long-Term Volatility on National Stock Exchange of India

ISBN13: 9781522592693|ISBN10: 1522592695|EISBN13: 9781522592716
DOI: 10.4018/978-1-5225-9269-3.ch011
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MLA

Cristi Spulbar and Ramona Birau. "Estimating Long-Term Volatility on National Stock Exchange of India." Emerging Research on Monetary Policy, Banking, and Financial Markets, IGI Global, 2019, pp.229-237. https://doi.org/10.4018/978-1-5225-9269-3.ch011

APA

C. Spulbar & R. Birau (2019). Estimating Long-Term Volatility on National Stock Exchange of India. IGI Global. https://doi.org/10.4018/978-1-5225-9269-3.ch011

Chicago

Cristi Spulbar and Ramona Birau. "Estimating Long-Term Volatility on National Stock Exchange of India." In Emerging Research on Monetary Policy, Banking, and Financial Markets. Hershey, PA: IGI Global, 2019. https://doi.org/10.4018/978-1-5225-9269-3.ch011

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Abstract

The main objective of this chapter is to provide an elaborate framework on the long-term volatility of the National Stock Exchange of India based on Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. The CNX-100 index is one of the most diversified Indian stock indices which includes over 38 sectors of the economy. This stock index represents about 81.57% of the free-floating market capitalization of stocks listed on the National Stock Exchange (NSE) of India from March 2014. Moreover, this book chapter empirically tested volatility clusters of CNX100 index using a large sample database from October 2007 to July 2014.

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