Volume : III, Issue : XI, November - 2013

Modeling Return Volatility of Bric Emerging Stock Markets Using Garch Family Models

Ramona Bir U, Jatin Trivedi

Abstract :

This article aims to highlight a controversial issue of great interest ie the intrinsic structure of emerging capital market behavior. Synthesizing, empirical analysis aims to analyze emerging capital markets volatility. Emerging capital markets establish a separate category in the financial field, with highly dynamic characteristics, especially in times of financial crisis. Emerging capital markets are extremely attractive considering the growth prospects and investment opportunities. However, volatility of returns is significant and represents an undeniable obstacle in attracting investors. Modeling and forecasting volatility of emerging capital markets is still an underexploited area although it has quite interesting research resources. Stock prices volatility can be used as a measure of risk in financial markets, so its importance is even greater in emerging capital markets. A sharp introspection regarding cointegration of emerging stock markets raised significant issues as a direct consequence of international portofolio diversification and financial globalization.

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Article: Download PDF   DOI : 10.36106/ijar  

Cite This Article:

Ramona Bir?u, Jatin Trivedi / Modeling Return Volatility of Bric Emerging Stock Markets Using Garch Family Models / Indian Journal of Applied Research, Vol.3, Issue.11 November 2013

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