Volatility Modeling of Stocks from Selected Sectors of the Indian Economy Using GARCH

  title={Volatility Modeling of Stocks from Selected Sectors of the Indian Economy Using GARCH},
  author={Jaydip Sen and Sidra Mehtab and Abhishek Dutta},
  journal={2021 Asian Conference on Innovation in Technology (ASIANCON)},
Volatility clustering is an important characteristic that has a significant effect on the behavior of stock markets. However, designing robust models for the accurate prediction of future volatilities of stock prices is a very challenging research problem. We present several volatility models based on generalized autoregressive conditional heteroscedasticity (GARCH) framework for modeling the volatility of ten stocks listed in the national stock exchange (NSE) of India. The stocks are selected… 

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