Bookcover of Forecasting Stock Price Volatility - An Indian Perspective
Booktitle:

Forecasting Stock Price Volatility - An Indian Perspective

A Guide to Predict Stock Price Volatility

LAP LAMBERT Academic Publishing (2014-12-01 )

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ISBN-13:

978-3-659-63744-5

ISBN-10:
3659637440
EAN:
9783659637445
Book language:
English
Blurb/Shorttext:
The book threw light on the growth and development of the stock market and observed that the development of the stock market highly depends on volatility and forecasting is an important area of research in financial market. The book measured the extent of stock price volatility in select companies of Automobile, Infrastructure, Manufacturing, Pharmaceutical and Services and identified suitable model for forecasting the volatility of the share prices in India. It evaluated the comparative ability of different statistical and econometric forecasting models in the context of Indian Stocks. Three different competing models were considered for the book and for forecasting performance of different models two forecasting error statistics viz., Root Mean Square Error (RMSE) and the Mean Absolute Error (MAE) were used and the best model was suggested for each sector. The EGARCH model provides the most accurate forecast compared to other competing models in the book. The book also made a few observations which may help the investors to understand better about the stock market.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
K. Prabhakaran, S. Varadaraj
Number of pages:
196
Published on:
2014-12-01
Stock:
Available
Category:
Money, Bank, Stock exchange
Price:
71.90 €
Keywords:
indian stock market, NSE, econometric models, Forecasting Volatility

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