000			01082npc a2200169Ia 4500
008			140613s2012 xx 000 0 und d
060			_a332.6322
100			_aKUMAR, DILIP
245			_aModelling asymmetry and persistence under the impact of sudden changes in the volatility of the _bIndian stock market
260			_c2012
300			_a123-136
520			_aIn 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.
653			_aSTOCK MARKET
700			_aMAHESWARAN, S
773			_oP14591 _nM _927802 _011182 _tMANAGEMENT REVIEW
942			_2ddc _cARTCL
999			_c11529 _d11529