Volatility in stock markets of india and canada

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XI, issue 4, pages Abstract: The study investigates volatility in the stock markets of India and Canada using daily closing price data for the period from January to July Various volatility and diagnostic tests suggest certain stylized facts about volatility like volatility clustering and mean reverting behavior. ARCH-LM test suggests the presence of conditional heteroscedasticity in both the stock markets.

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The findings reveal that the GARCH 1, 1 model successfully captures the time-varying volatility in the stock markets. The analysis suggests persistence of volatility in the stock markets.

However, the persistence of volatility in Canadian stock market is marginally more than that of Indian stock market. Add references at CitEc Citations Track citations by RSS feed There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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Applied Economics Journal | Volatility in Stock Markets of India and Canada

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Volatility in Stock Markets of India and Canada Prashant Joshi and Kiran Pandya The IUP Journal of Applied Economics , , vol.