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Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in India

Author

Listed:
  • Ramona Birau

    (“Constantin Brancusi†University of Targu Jiu)

  • Jatin Trivedi

    (National Institute of Securities Markets)

  • Cristi Spulbar

    (University of Craiova)

Abstract

This study evaluates performance of Indian index considering NIFTY MIDCAP 50 index daily series returns. Autoregressive model EGARCH forecasts the volatility predictability and empirically analyze volatility pattern considering daily returns from NIFTY 50 index. The study tests presence of asymmetry in volatility transmitting patterns, Movement of higher positive and negative magnitude of shocks and fitness of the model. For this purpose data series considered from October 2007 to April 2021 consisting 3321 daily observations. This empirical study also attempts to capture the opportunity for investment returns and involvement of risk. Findings provide financial series movement, volatility sketches, summary of statistics and property of EGARCH model and fitness of series returns in EGARCH model.

Suggested Citation

  • Ramona Birau & Jatin Trivedi & Cristi Spulbar, 2021. "Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in India," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 691-696, August.
    • Handle: RePEc:ovi:oviste:v:xxi:y:2021:i:1:p:691-696
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    References listed on IDEAS

    as
    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    2. Ali Bendob & Naima Bentouir, 2019. "Options Pricing by Monte Carlo Simulation, Binomial Tree and BMS Model: a comparative study of Nifty50 options index," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(11), pages 79-95, January.
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    More about this item

    Keywords

    emerging stock market; returns; volatility pattern; investment risk;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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