Indian Journal of Finance

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Forecasting Performance of Various Volatility Models on Intra-Day Equity Price in the Indian Stock Market


Affiliations
1 Assistant Professor, Department of Mathematics, TechWords W.G.V.S. Group of Institutions, Manglour, Roorkee, Uttarakhand – 247667, India
2 Associate Professor, Department of Mathematics, D.A.V (P.G) College, Dehradun -248001, Uttarakhand, India

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In this paper, an attempt has been made to determine the forecasting performance of symmetric and asymmetric volatility forecasting models in terms of error estimators using the intra-day of highly liquid stocks in the Indian stock market. Superiority of forecasting performance of asymmetric GARCH model over symmetric model has been established.

Keywords

Volatility Forecasting, Conditional Variance, Symmetric and Asymmetric GARCH Models, Error Statistics

62H12, 62H30

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  • Forecasting Performance of Various Volatility Models on Intra-Day Equity Price in the Indian Stock Market

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Authors

Asad Ahmad
Assistant Professor, Department of Mathematics, TechWords W.G.V.S. Group of Institutions, Manglour, Roorkee, Uttarakhand – 247667, India
U. S. Rana
Associate Professor, Department of Mathematics, D.A.V (P.G) College, Dehradun -248001, Uttarakhand, India

Abstract


In this paper, an attempt has been made to determine the forecasting performance of symmetric and asymmetric volatility forecasting models in terms of error estimators using the intra-day of highly liquid stocks in the Indian stock market. Superiority of forecasting performance of asymmetric GARCH model over symmetric model has been established.

Keywords


Volatility Forecasting, Conditional Variance, Symmetric and Asymmetric GARCH Models, Error Statistics

62H12, 62H30