Tag: NIFTY

Study of India VIX options pricing using Black-Scholes model

Posted onAuthormr_nmims_4692764

India VIX is the first volatility index in India based on the order book of NIFTY Options. For this, the best bidask quotes of near and next-month NIFTY options contracts which are traded on the F&O segment of NSE are used. In February 2014, NSE introduced Futures contracts based on India VIX. There are strong Read More …

Volatility Modelling and Forecasting for NIFTY Stock Returns

Posted onAuthorGurmeet.Singh

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 …