Volume : 6, Issue : 4, April - 2017

Assessing volatility and returns of NIFTY50 index using symmetric GARCH modeling

Jatin Trivedi, Amol Gawande

Abstract :

<p>&nbsp;<span style="font-family: &quot;Times New Roman&quot;, serif; font-size: 12pt; text-align: justify;">This article aims to predict volatility for national stock exchange using symmetric GARCH model. This paper protested to estimate the unpredictability and transmitting patterns for NSE. Generalized autoregressive conditional heteroskedesticity with AR-1-GR-1 used considering NIFTY50 index as specimen series from National Stock Exchange (NSE). Result indicates investment risks and the return prospects from NIFTY50 index. GARCH (1, 1) model explored for series returns with empirical discussion along with detail graphical explanations for volatility sketches and series returns.&nbsp;</span></p> <p class="MsoNormal" style="text-align:justify;line-height:normal"><span style="font-size:12.0pt;font-family:&quot;Times New Roman&quot;,serif"><o:p></o:p></span></p>