Testing Stock Market Volatility using GARCH models
Posted by: Laly Antoney
Business Studies
Jun 26, 2016
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Dr. M. Tamilselvan, Lecturer, Business Department, IBRICT presented a research paper and chaired a session in the International Conference on Commerce and Finance held at Istanbul Commerce University, Turkey from May 26 to May 27 2016. The conference was organized by School of Business, Istanbul Commerce University where it received a wide variety of subjects relevant to commerce and management and contemporary issues.

In his paper on “Testing Stock Market Volatility using GARCH models – The Case of Oman” Dr. Tamil discussed on how to forecast stock market volatility using autoregressive moving average model . He started the session with the basics of stationarity and non-stationarity characteristics of high frequency time series data using unit root tests. Besides, he demonstrated the shock persistence, leverage and asymmetric effect of Muscat share Market indices using GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) models.

Academicians and research delegates from Taiwan, Lebanon, Poland and Morocco have interacted with Dr. Tamil on the significance of volatility testing and formulating investment strategies in their respective geographical context. The chair of the conference Mr. Negehan Uca felicitated Dr. M. Tamilselvan with a memento and certificate. The paper was much acclaimed for its original contribution and selected for publishing in the University Journal.