Forecasting Stock Price Volatility - An Indian Perspective: A Guide to Predict Stock Price Volatility - Couverture souple

Prabhakaran, K.; Varadaraj, S.

 
9783659637445: Forecasting Stock Price Volatility - An Indian Perspective: A Guide to Predict Stock Price Volatility
Couverture souple
ISBN 10 : 3659637440 ISBN 13 : 9783659637445
Editeur : LAP LAMBERT Academic Publishing, 2014

Synopsis

The book threw light on the growth and development of the stock market and observed that the development of the stock market highly depends on volatility and forecasting is an important area of research in financial market. The book measured the extent of stock price volatility in select companies of Automobile, Infrastructure, Manufacturing, Pharmaceutical and Services and identified suitable model for forecasting the volatility of the share prices in India. It evaluated the comparative ability of different statistical and econometric forecasting models in the context of Indian Stocks. Three different competing models were considered for the book and for forecasting performance of different models two forecasting error statistics viz., Root Mean Square Error (RMSE) and the Mean Absolute Error (MAE) were used and the best model was suggested for each sector. The EGARCH model provides the most accurate forecast compared to other competing models in the book. The book also made a few observations which may help the investors to understand better about the stock market.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

The book threw light on the growth and development of the stock market and observed that the development of the stock market highly depends on volatility and forecasting is an important area of research in financial market. The book measured the extent of stock price volatility in select companies of Automobile, Infrastructure, Manufacturing, Pharmaceutical and Services and identified suitable model for forecasting the volatility of the share prices in India. It evaluated the comparative ability of different statistical and econometric forecasting models in the context of Indian Stocks. Three different competing models were considered for the book and for forecasting performance of different models two forecasting error statistics viz., Root Mean Square Error (RMSE) and the Mean Absolute Error (MAE) were used and the best model was suggested for each sector. The EGARCH model provides the most accurate forecast compared to other competing models in the book. The book also made a few observations which may help the investors to understand better about the stock market.

Biographie de l'auteur

Dr. K. Prabhakaran has more than 10 years of experience in Teaching and Research. He is a SEBI Certified Financial Education Resource Person & NSE Certified Market Professional. Dr. S. Varadaraj around 30 years of Teaching and Research experience. He is Associate professor of Management, Gobi Arts and Science College, Gobichettipalayam, Tamilnadu.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2014
Langue
anglais
ISBN 10 
3659637440
ISBN 13 
9783659637445
Reliure
Broché
Nombre de pages
196
Coordonnées du fabricant
non disponible
Personne responsable
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