Modelling asymmetry and persistence under the impact of sudden changes in the volatility of the Indian stock market

By:

KUMAR, DILIP

Contributor(s):

MAHESWARAN, S

Material type:

Mixed materialsPublication details: 2012Description: 123-136Subject(s):

STOCK MARKET

NLM classification:

332.6322

In: MANAGEMENT REVIEWMSummary: In this paper, we compare the performance of Inclan and Tiao's(IT) (1994) and Sanso, Arago and Carrion's (AIT) (2004) iterated cumulative sums of squares (ICSS) algorithms by means of Monte Carlo simulation experiments for various data-generatingprocesses with conditional and unconditional variance. In addition, we investigate the impact of regime shifts on the asymmetry and persistence of volatility form the vantage point of modelling volatility in general and particular, in assessing the forecasting ability of the GARCH class of models in he context of the Indian market.

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Item type	Current library	Call number	Vol info	Status	Date due	Barcode
Periodicals/Magazines	SSCBS Library		24/3	Available		P14591

In this paper, we compare the performance of Inclan and Tiao's(IT) (1994) and Sanso, Arago and Carrion's (AIT) (2004) iterated cumulative sums of squares (ICSS) algorithms by means of Monte Carlo simulation experiments for various data-generatingprocesses with conditional and unconditional variance. In addition, we investigate the impact of regime shifts on the asymmetry and persistence of volatility form the vantage point of modelling volatility in general and particular, in assessing the forecasting ability of the GARCH class of models in he context of the Indian market.

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