Since 2014
Volatility Analysis of Nepalese Stock Market
Journal of Nepalese Business Studies
View Archive Info| Field | Value | |
| Title |
Volatility Analysis of Nepalese Stock Market
|
|
| Creator |
G.C., Surya Bahadur; Faculty of Management
|
|
| Subject |
Economics
Conditional heteroskedasticity; ARCH; GARCH; Effect; Nepalese Stock Market Stock Market |
|
| Description |
Modeling and forecasting volatility of capital markets has been important area of inquiry and research in financial economics with the recognition of time-varying volatility, volatility clusturing, and asymmetric response of volatility to market movements. Given the anticipated growth of the Nepalese stock market and increasing interest of investors towards investment in Nepalese stock market, it is important to understand the pattern of stock market volatility. In the paper, the volatility of the Nepalese stock market is modeled using daily return series consisting of 1297 observations from July 2003 to Feb 2009 and different classes of estimators and volatility models. The results indicate that the most appropriate model for volatility modeling in Nepalese market, where no significant asymmetry in the conditional volatility of returns was captured, is GARCH(1,1). The study revealed strong evidence of time-varying volatility, a tendency of the periods of high and low volatility to cluster and a high persistence and predictability of volatility in the Nepalese stock market.Key words: Conditional heteroskedasticity, ARCH, GARCH, volatility clustering, leverage effect, Nepalese Stock MarketThe Journal of Nepalese Business Studies Vol. V, No. 1, 2008, December Page: 76-84
|
|
| Publisher |
Faculty of Management Prithivi Narayan Campus
|
|
| Contributor |
—
|
|
| Date |
2009-07-26
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
|
| Format |
application/pdf
|
|
| Identifier |
https://www.nepjol.info/index.php/JNBS/article/view/2085
10.3126/jnbs.v5i1.2085 |
|
| Source |
Journal of Nepalese Business Studies; Vol 5, No 1 (2008); 76-84
2350-8795 |
|
| Language |
eng
|
|
| Relation |
https://www.nepjol.info/index.php/JNBS/article/view/2085/1911
|
|
| Coverage |
Nepal
— — |
|