Volatility predictions of security index using GARCH

The Digital Institutional Repository of IIM Bangalore

Please use this identifier to cite or link to this item: https://repository.iimb.ac.in/handle/123456789/10963

DC Field	Value	Language
dc.contributor.advisor	Basu, Sankarshan
dc.contributor.author	Goel, Rohit
dc.contributor.author	Baregar, Vijayeendra Narayan
dc.date.accessioned	2017-10-06T12:10:19Z
dc.date.accessioned	2019-03-18T08:42:21Z	-
dc.date.available	2017-10-06T12:10:19Z
dc.date.available	2019-03-18T08:42:21Z	-
dc.date.issued	2010
dc.identifier.uri	http://repository.iimb.ac.in/handle/123456789/10963
dc.description.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.
dc.language.iso	en_US
dc.publisher	Indian Institute of Management Bangalore
dc.relation.ispartofseries	PGSEM-PR-P10-84	-
dc.subject	Security index
dc.subject	Volatility
dc.title	Volatility predictions of security index using GARCH
dc.type	Project Report-PGSEM
dc.pages	31p.
dc.identifier.accession	E34490	-
Appears in Collections:	2010

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