文章基本信息

标题：Modelling Volatility in Emerging Capital Market: The Case of Indian Capital Market
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作者：M Kannadhasan ; Bhanu Pratap Singh Thakur ; S.Aramvalarthan 等
期刊名称：Academy of Accounting and Financial Studies Journal
印刷版ISSN：1096-3685
出版年度：2018
卷号：22
期号：1
页码：1-11
语种：English
出版社：The DreamCatchers Group, LLC
摘要：Peter L Bernstein opined that ‘‘fundamental law of investing is the uncertainty of the future’’. Yet investors (individual and institutional) have no choice, but to forecast the risk and return of individual asset or group of assets. Investors’ incorporates their expectations towards capital market while estimating return and risk of individual asset and group of assets. Both investors and financial authorities place a lot of emphasis on volatility that can be used to measure risk and stock market stability (Yu, 2002). Volatility is a measure of variations in asset prices. Usually, a percentage change in prices or rate of returns is used to measure the volatility of a financial market (Schwert, 1990). According to Pan & Zhang (2006), Modelling volatility in financial markets provides further insight into the data generating process of the returns..
关键词：Volatility Clustering;GARCH;Asymmetric GARCH;Leverage Effect