Volume : III, Issue : IX, September - 2013

Estimating Emerging Stock Market Volatility Using Garch Family Models

Ramona Bir U, Jatin Trivedi

Abstract :

The main objective of this article is to estimate the volatility of the BRIC emerging stock markets, namely Brazil, Russia, India and China based on the analysis of their major stock indices. The econometric approach includes GARCH model which is performed in order to capture asymmetric volatility clustering and leptokurtosis. Outcomes suggest that open–end security markets follow focus strategy of speculative investing rather than directions of risk management. Empirical analysis reveals that short–term horizon trends and the term horizon trends are not similar, even contrary.

Keywords :

Article: Download PDF   DOI : 10.36106/ijar  

Cite This Article:

Ramona Birău, Jatin Trivedi Estimating Emerging Stock Market Volatility Using Garch Family Models Indian Journal of Applied Research, Vol.III, Issue.IX September 2013

Number of Downloads : 693

References :