Examination of GARCH Model for Determinants of Infosys Stock Returns
International Journal of Current Research, Vol. 7, Issue, 12, pp.24811-24815, December, 2015
5 Pages Posted: 20 Jul 2021
Date Written: december 27, 2015
The research on asset volatility in financial market is the foundation of predict asset volatility accurately, Bollerslev built a generalised ARCH (GARCH) model based on the ARCH model. provides a more real financial instruments. to estimate a bes term and lastly, test for significance. The objective of the study is to GARCH (1,1) model for the volatility of Infosys stock returns and factors influencing the volatility in the returns of Infosys stock returns. The study covers monthly data ranging from Sep The empirical investigation considers returns of closing prices of all variables namely Infosys Stock Return as dependent and S&P CNX Nifty and Dow Jones Industrial Average as independent variables. Data for all yahoofinance.com. E weakness of this student’s t distribution model about its non non-normality in the residuals may not be that serious problem for estimation. Hence this model will be used for forecasting.
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