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http://hdl.handle.net/11718/10038| Title: | Volatility models and their performance in Indian capital markets |
| Authors: | Pandey, Ajay |
| Keywords: | Capital Markets;Volatility Model |
| Issue Date: | 27-Oct-2005 |
| Abstract: | Estimation and forecasting of volatility of asset returns is important in various applications related to financial markets such as valuation of derivatives, risk management, etc. Till early eighties, it was commonly assumed that the volatility of an asset is constant and estimation procedures were based on this assumption even though some of the pioneering studies on property of stock market returns did not support this assumption |
| Description: | Vikalpa: The Journal for Decision Makers, Vol. 30, No. 2, (April-June, 2005), pp. 27-46 |
| URI: | http://hdl.handle.net/11718/10038 |
| Appears in Collections: | Journal Articles |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Volatilitymodels.pdf Restricted Access | 296.79 kB | Adobe PDF | View/Open Request a copy |
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