{"title":"Estimating Stock Market Volatility Using Exponential Garch Model with Skewed Student- T Distribution","authors":"Syamraj Kp, Regina Sibi Cleetus","doi":"10.59640/cbr.v14i2.98-104","DOIUrl":null,"url":null,"abstract":"The aim of the study is to empirically investigate the performance of the EGARCH (1, 1) volatility model with the normal, skew-normal, and student t and skewed student t distributions on the NSE Nifty Fifty Index. Ten years of daily closing rates over the period of January 2010 to December 2020, for a total of 2730 observations, have been analyzed. According to the information criterion, this study has found that the EGARCH (1, 1) model under skewed student t distribution is a better fit than other distribution models.","PeriodicalId":426677,"journal":{"name":"Commerce & Business Researcher","volume":"32 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Commerce & Business Researcher","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.59640/cbr.v14i2.98-104","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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Abstract
The aim of the study is to empirically investigate the performance of the EGARCH (1, 1) volatility model with the normal, skew-normal, and student t and skewed student t distributions on the NSE Nifty Fifty Index. Ten years of daily closing rates over the period of January 2010 to December 2020, for a total of 2730 observations, have been analyzed. According to the information criterion, this study has found that the EGARCH (1, 1) model under skewed student t distribution is a better fit than other distribution models.
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