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Predicting the volatility in stock return of emerging economy: An empirical approach

Aastha Khera & Miklesh Prasad Yadav

Theoretical and Applied Economics2020article
ABDC C
Weight
0.47

What the paper says

Investors become jittery when they do not earn return on their hard earned money. In the same time, they want to make their investment in safe place rather than losing it. For better return, they also want to estimate the volatility in stock market. The basic purpose of the present study is to forecast the volatility in stock return of emerging economies. For the same, the adjusted daily closing price of eleven countries is considered for five years. Generalized Autoregressive Conditional Heteroscedasticity (GARCH) has been applied to predict the stock return of these countries. The different orders of GARCH have been applied in predicting the volatility. It is found that the volatility of every stock return can be forecasted.

6 citations

Cite this paper

@article{aastha2020,
  title        = {{Predicting the volatility in stock return of emerging economy: An empirical approach}},
  author       = {Aastha Khera & Miklesh Prasad Yadav},
  journal      = {Theoretical and Applied Economics},
  year         = {2020},
}

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Predicting the volatility in stock return of emerging economy: An empirical approach

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Evidence weight

0.47

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.32 × 0.4 = 0.13
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.