Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in India
This study evaluates performance of Indian index considering NIFTY MIDCAP 50 index daily series returns. Autoregressive model EGARCH forecasts the volatility predictability and empirically analyze volatility pattern considering daily returns from NIFTY 50 index. The study tests presence of asymmetry...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Ovidius University Press
2021-01-01
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| Series: | Ovidius University Annals: Economic Sciences Series |
| Subjects: | |
| Online Access: | https://stec.univ-ovidius.ro/html/anale/RO/2021/Section%205/2.pdf |