Open AccessMEASURING VOLATILITY OF NIFTY50 AND SENSEX UNDER DIFFERENT ERROR DISTRIBUTION METHODS OF E-GARCH FOR THE PERIOD BETWEEN 2011 TO 2016.
Author(s) -
Ms. A.Amali Vinupriyadharshini Dr. Vijayakumari Joseph
Publication year - 2021
Publication title -
psychology
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.112
H-Index - 10
ISSN - 0033-3077
DOI - 10.17762/pae.v58i2.3192
Subject(s) - volatility (finance) , autoregressive conditional heteroskedasticity , econometrics , financial models with long tailed distributions and volatility clustering , implied volatility , forward volatility , economics
Volatility has always been a part and parcel of stock market. Understanding the volatility is very difficult though measuring it is not impossible. Choosing the right method to meausre the volatility is very crucial and important to get the reliable and accurate results. This study aims at measuring volatility of Nifty50 and Sensex under different error distribution methods of E-GARCH model. E-GARCH is one of the reliable ARCH models that measures persistent volatility and asymmetric effects. This paper bring out the best suited model for Nifty50 and Sensex in measuring the volatility under different error distribution method of E-GARCH model.