Details

Autor(en) / Beteiligte

• Karmakar, Madhusudan
• Shukla, Girja Kant

Titel

The Effect of Spillover on Volatility Forecasting: An Empirical Study in Indian Stock Market

Ist Teil von

• Metamorphosis: A Journal of Management Research, 2016-06, Vol.15 (1), p.20-30

Ort / Verlag

New Delhi, India: SAGE Publications

Erscheinungsjahr

2016

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• In this article, we have investigated whether the precision of one-step-ahead forecast of the market volatility can be improved by incorporating the spillover effect of other markets. For this, we have used the MGARCH model and shown empirically that if the group of markets is chosen judiciously so as to avoid multicollinearity, then it is indeed possible to obtain better forecasts. For this purpose, we have employed a BEKK parameterization of MGARCH models on the daily data of 10 sectors of the Bombay Stock Exchange (BSE).