A Study on Conditional Volatility on Nifty Evidence from National Stock Exchange-India
Posted by: Laly Antoney
Business Studies Department
Monday, September 5, 2016
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Dr. M. Tamilselvan, Lecturer, Business Department, IBRICT presented a research paper in the International Conference on Applied Business and Economic Research held at Hotel the Hans, New Delhi - India from July 30 to July 31- 2016. The conference was organized by Serials Publication Pvt.Ltd, New Delhi- India where it received a wide variety of subjects relevant to commerce and management and contemporary issues.

In his paper on “A Study on Conditional Volatility on Nifty Index Evidence from National Stock Exchange-India. 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 Indian Securities Market indices using GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) models.

Academicians and research delegates from various countries 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. Vijay Jha felicitated Dr. M. Tamilselvan with a memento and certificate. The paper was much acclaimed for its original contribution and selected for publishing in the Scopus indexed ‘International Journal of Applied Business and Economic Research-ISSN: 0972-7302.