Forecasting Performance of Various Volatility Models on Intra-Day Equity Price in the Indian Stock Market
Keywords:
Volatility Forecasting
, Conditional Variance, Symmetric and Asymmetric GARCH Models, Error Statistics62H12
, 62H30Abstract
In this paper, an attempt has been made to determine the forecasting performance of symmetric and asymmetric volatility forecasting models in terms of error estimators using the intra-day of highly liquid stocks in the Indian stock market. Superiority of forecasting performance of asymmetric GARCH model over symmetric model has been established.Downloads
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