Volatility Modelling and Forecasting for NIFTY Stock Returns

Abstract In this paper, an attempt has been made to model the volatility of NIFTY index of National Stock Exchange (NSE) and forecast the NIFTY stock returns for short term by using daily data ranging from January-2000 to December-2014, which comprises 3,736 data points for the analysis by using Box-Jenkins or ARIMA model. The volatility Read More …