Modelling asymmetry and persistence under the impact of sudden changes in the volatility of the
KUMAR, DILIP
Modelling asymmetry and persistence under the impact of sudden changes in the volatility of the Indian stock market - 2012 - 123-136
In this paper, we compare the performance of Inclan and Tiao's(IT) (1994) and Sanso, Arago and Carrion's (AIT) (2004) iterated cumulative sums of squares (ICSS) algorithms by means of Monte Carlo simulation experiments for various data-generatingprocesses with conditional and unconditional variance. In addition, we investigate the impact of regime shifts on the asymmetry and persistence of volatility form the vantage point of modelling volatility in general and particular, in assessing the forecasting ability of the GARCH class of models in he context of the Indian market.
STOCK MARKET
332.6322
Modelling asymmetry and persistence under the impact of sudden changes in the volatility of the Indian stock market - 2012 - 123-136
In this paper, we compare the performance of Inclan and Tiao's(IT) (1994) and Sanso, Arago and Carrion's (AIT) (2004) iterated cumulative sums of squares (ICSS) algorithms by means of Monte Carlo simulation experiments for various data-generatingprocesses with conditional and unconditional variance. In addition, we investigate the impact of regime shifts on the asymmetry and persistence of volatility form the vantage point of modelling volatility in general and particular, in assessing the forecasting ability of the GARCH class of models in he context of the Indian market.
STOCK MARKET
332.6322