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COMPARING NET PROFIT FORECASTS OF INDIAN BANKS USING OLS AND GARCH 1,1 FRAMEWORK

Scholedge International Journal of Management & Development

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Title COMPARING NET PROFIT FORECASTS OF INDIAN BANKS USING OLS AND GARCH 1,1 FRAMEWORK
 
Creator Malhotra, Rohit
Kapadia, Jimmi
 
Subject Banking
OLS, GARCH, Earning Forecasts
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Description In the present paper the Bi-variate Ordinary Least Square (OLS) and Generalized autoregressive conditional heteroskedasicity (GARCH 1, 1) model are applied to gather the fitted Net –Profit series of Two nationalized banks viz, State Bank of India SBI (being a leader) and ING Vysya bank (not a leader) in the Indian Banking sector. It is evident that OLS is non-parameterized method while QMLE or QML is a parameterized technique of coefficients estimation. The robustness must therefore need to see with respect to the data in consideration. The whole approach is to measure how both the models provide Earning forecasts and to analyze the behavior of regression coefficients. Also, the second objective could be to see how “Leader” bank earnings estimation process differs from the non-leader bank in the Indian banking setup. The results are clearly explaining differences in two banks in terms of their coefficient values, residual state and R-squared values.
 
Publisher Scholedge R&D Center
 
Contributor —
 
Date 2015-09-10
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
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Format application/pdf
text/html
 
Identifier http://www.thescholedge.org/index.php/sijmd/article/view/212
 
Source Scholedge International Journal of Management & Development ISSN 2394-3378; Vol 2, No 8 (2015); 31-36
2394-3378
 
Language eng
 
Relation http://www.thescholedge.org/index.php/sijmd/article/view/212/315
http://www.thescholedge.org/index.php/sijmd/article/view/212/322
http://www.thescholedge.org/index.php/sijmd/article/view/212/323
 
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Rights Copyright (c) 2015 SCHOLEDGE INTERNATIONAL JOURNAL OF MANAGEMENT & DEVELOPMENT ISSN 2394-3378
http://creativecommons.org/licenses/by-nc/4.0