Modelling volatility persistence and asymmetry: A Study on selected Indian non-ferrous metals markets
نویسندگان
چکیده
منابع مشابه
Influence of Processing Technology on Mechanical Properties and Structure of Selected Non-ferrous Metals
Contemporary materials should possess high mechanical properties, physical and chemical, as well as technological ones, to ensure long and reliable use. The above mentioned requirements and expectations regarding the contemporary materials are met by the non-ferrous metals alloys used nowadays, including namely the aluminium and magnesium alloys. Presented experimental work focused on the study...
متن کاملVolatility, persistence, and survival in financial markets.
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price fluctuations as a non-Markovian stochastic process using the first-passage statistical concepts of persistence and survival. We report the results of empiri...
متن کاملThe Effect of Cross Rolling on the Microstructure of Ferrous and Non-ferrous Metals and Alloys
A.B. Naizabekov, S.N. Lezhnev, Rudny Industrial Institute, Rudny, Kazakhstan; H. Dyja, T. Bajor, Czestochowa University of Technology, Czestochowa, Poland; K. Tsay, Institute of Nuclear Physics of the National Nuclear Center of the Republic of Kazakhstan, Almaty, Kazakhstan; A. Arbuz, N.Gusseynov, R. Nemkaeva Al-Farabi Kazakh National University, Almaty, Kazakhstan The cross rolling is the one ...
متن کاملIntraday periodicity and volatility persistence in financial markets
The pervasive intraday periodicity in the return volatility in foreign exchange and equity markets is shown to have a strong impact on the dynamic properties of high frequency returns. Only by taking account of this strong intraday periodicity is it possible to uncover the complex intraday volatility dynamics that exists both within and across different financial markets. The explicit periodic ...
متن کاملModeling and Forecasting Volatility in Indian Capital Markets
Various volatility estimators and models have been proposed in the literature to measure volatility of asset returns. In this paper, we compare empirical performance of various unconditional volatility estimators and conditional volatility models (GARCH and EGARCH) using time-series data of S&PCNX Nifty, a value-weighted index of 50 stocks traded on the National Stock Exchange (NSE), Mumbai. Th...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Resources Policy
سال: 2014
ISSN: 0301-4207
DOI: 10.1016/j.resourpol.2014.02.004