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

See all articles by Prof. Jeelan Basha.V

Prof. Jeelan Basha.V

Vijayanagar Sri Krishnadevaraya University Ballari

Date Written: december 27, 2015

Abstract

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.

Suggested Citation

Basha.V, Jeelan, Examination of GARCH Model for Determinants of Infosys Stock Returns (december 27, 2015). International Journal of Current Research, Vol. 7, Issue, 12, pp.24811-24815, December, 2015, Available at SSRN: https://ssrn.com/abstract=3874816

Jeelan Basha.V (Contact Author)

Vijayanagar Sri Krishnadevaraya University Ballari ( email )

Professor Of Commerce, Vijayanagara Sri Krishnadev
Cantonment
Ballari karnataka, KS KARNATAKA 583105
India
9986080829 (Phone)
583105 (Fax)

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