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Journal of Quantitative Economics

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01.06.2016 | Original Article

Modeling Jumps and Volatility of the Indian Stock Market Using High-Frequency Data

verfasst von: Rituparna Sen, Pulkit Mehrotra

Erschienen in: Journal of Quantitative Economics | Ausgabe 1/2016

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Abstract

Recent advancements in technology have led to wide availability of high-frequency financial data. The aim of this paper is to study the behavior of the Indian stock market. In particular, we analyze the returns at 5 min interval from NSE using the index NIFTY and the stocks State Bank of India and Infosys. A non-parametric approach is taken to detect jumps in the return process. The analysis shows that index jumps relate very closely with the general market news and announcements while individual stock jumps are associated with company specific news. We find that volatility of the market is best captured by asymmetric power ARCH models.

Vorheriger Artikel Impact of Payment Technology on Seasonality of Currency in Circulation: Evidence from the USA and India

Nächster Artikel An Application of Quah and Vahey’s SVAR Methodology for Estimating Core Inflation in India: A Note

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Titel: Modeling Jumps and Volatility of the Indian Stock Market Using High-Frequency Data
verfasst von: Rituparna Sen
Pulkit Mehrotra
Publikationsdatum: 01.06.2016
Verlag: Springer India
Erschienen in: Journal of Quantitative Economics / Ausgabe 1/2016
Print ISSN: 0971-1554
Elektronische ISSN: 2364-1045
DOI: https://doi.org/10.1007/s40953-016-0028-5

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