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

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  • Aastha KHERA

    (Kurukshetra University, Kurukshetra, India)

  • Dr. Miklesh Prasad YADAV

    (Amity University, Noida, India)

Abstract

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.

Suggested Citation

  • Aastha KHERA & Dr. Miklesh Prasad YADAV, 2020. "Predicting the volatility in stock return of emerging economy: An empirical approach," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(625), W), pages 233-244, Winter.
    • Handle: RePEc:agr:journl:v:4(625):y:2020:i:4(625):p:233-244
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    References listed on IDEAS

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