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首页> 外文期刊>American journal of applied sciences >Suitability of Volatility Models for Forecasting Stock Market Returns: A Study on the Indian National Stock Exchange
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Suitability of Volatility Models for Forecasting Stock Market Returns: A Study on the Indian National Stock Exchange

机译：波动率模型对股票市场收益预测的适用性：印度国家股票交易所的研究

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摘要

Problem statement: Measuring volatility is an important issue for stock market traders. Also, volatility has been used as a proxy for riskiness associated with the asset. This study aims to compare the different volatility models based on how well they model the volatility of the India NSE. Approach: The study has made use of five models which are Historical/Rolling Window Moving Average Estimator, (ii) Exponentially Weighted Moving Average (EWMA), (iii) GARCH models, (iv) Extreme Value Indicators (EVI) and (v) Volatility Index (VIX).The data includes the daily closing, high, low and open values of the NSE returns from 2005-2008. The model comparison was done on how well the models explained the ex-post volatility. Wald's constant's test was used to test which method best suited the requirements. Results: It was concluded that the AGARCH and VIX models proved to be the best methods. At the same time Extreme Value models fail to perform because of the low frequency data being used. Conclusions: As other research suggests these models perform best when they are applied to high frequency data such as the daily or intraday data. EVIs give the best forecasting performance followed by the GARCH and VIX models.
机译：问题陈述：衡量波动性是股票交易者的重要问题。此外，波动率已被用作与资产相关的风险的代表。这项研究旨在根据不同的波动率模型对印度NSE波动率的建模能力进行比较。方法：研究使用了五个模型，分别是历史/滚动窗口移动平均估计器，（ii）指数加权移动平均（EWMA），（iii）GARCH模型，（iv）极值指标（EVI）和（v）波动率指数（VIX）：该数据包括2005-2008年NSE收益的每日收盘价，高，低和开盘价。模型比较是根据模型对事后波动性的解释程度进行的。 Wald常数测试用于测试哪种方法最适合要求。结果：结论是AGARCH和VIX模型被证明是最好的方法。同时，由于使用了低频数据，因此极值模型无法执行。结论：正如其他研究表明的那样，这些模型在应用于高频数据（例如每日或日内数据）时表现最佳。 EVI提供最佳的预测性能，其次是GARCH和VIX模型。

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