Tail Behaviour of the Nifty-50 Stocks during Crises Periods

Abstract

The study also recommends estimating the tail index and then deciding upon any other methodology for analyzing the stock market prices. According to the history, price of stocks and other assets are an important part of economic activity and can act as an indicator of social mood. Modelling the stock market prices is an age-old problem, and for many years researchers have modelled the stock prices using a normal model. The presence of the extremes increases the volatility of the stock price random variable and affects its symmetric nature at the tails.