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...
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Ovidius University Press
2021-01-01
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doaj-f3a70382ea2c4478bdee1d0b5a3c38ce2021-09-03T17:46:59ZengOvidius University PressOvidius University Annals: Economic Sciences Series2393-31272021-01-01XXI1691696Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in IndiaRamona Birau0Jatin Trivedi1Cristi Spulbar2“Constantin Brancusi” University of Targu JiuNational Institute of Securities MarketsUniversity of CraiovaThis 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 in volatility transmitting patterns, Movement of higher positive and negative magnitude of shocks and fitness of the model. For this purpose data series considered from October 2007 to April 2021 consisting 3321 daily observations. This empirical study also attempts to capture the opportunity for investment returns and involvement of risk. Findings provide financial series movement, volatility sketches, summary of statistics and property of EGARCH model and fitness of series returns in EGARCH model.https://stec.univ-ovidius.ro/html/anale/RO/2021/Section%205/2.pdfemerging stock marketreturnsvolatility patterninvestment risk |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Ramona Birau Jatin Trivedi Cristi Spulbar |
spellingShingle |
Ramona Birau Jatin Trivedi Cristi Spulbar Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in India Ovidius University Annals: Economic Sciences Series emerging stock market returns volatility pattern investment risk |
author_facet |
Ramona Birau Jatin Trivedi Cristi Spulbar |
author_sort |
Ramona Birau |
title |
Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in India |
title_short |
Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in India |
title_full |
Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in India |
title_fullStr |
Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in India |
title_full_unstemmed |
Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in India |
title_sort |
estimating volatility and investment risk: an empirical case study for nifty midcap 50 index of national stock exchange (nse) in india |
publisher |
Ovidius University Press |
series |
Ovidius University Annals: Economic Sciences Series |
issn |
2393-3127 |
publishDate |
2021-01-01 |
description |
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 in volatility transmitting patterns, Movement of higher positive and negative magnitude of shocks and fitness of the model. For this purpose data series considered from October 2007 to April 2021 consisting 3321 daily observations. This empirical study also attempts to capture the opportunity for investment returns and involvement of risk. Findings provide financial series movement, volatility sketches, summary of statistics and property of EGARCH model and fitness of series returns in EGARCH model. |
topic |
emerging stock market returns volatility pattern investment risk |
url |
https://stec.univ-ovidius.ro/html/anale/RO/2021/Section%205/2.pdf |
work_keys_str_mv |
AT ramonabirau estimatingvolatilityandinvestmentriskanempiricalcasestudyforniftymidcap50indexofnationalstockexchangenseinindia AT jatintrivedi estimatingvolatilityandinvestmentriskanempiricalcasestudyforniftymidcap50indexofnationalstockexchangenseinindia AT cristispulbar estimatingvolatilityandinvestmentriskanempiricalcasestudyforniftymidcap50indexofnationalstockexchangenseinindia |
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1717815998043652096 |