Volatility predictions of security index using GARCH

Abstract

Prediction of volatility in securities has tremendous benefits in the financial world. These benefits often go proportional to the accuracy of the model in terms of predictions. This is an attempt to predict the volatility of Indian Securities Index using GARCH and ascertain whether the GARCH family holds good considering the peculiarity on Indian Financial markets. This study also attempts to determine the best fit from GARCH family to do the job.