Sensex and Stylized Facts an Empirical

13 Pages Posted: 14 Feb 2007

See all articles by S. Subramanian

S. Subramanian

Sri Sathya Sai Institute of Higher Learning

U.S. Rao

Sri Sathya Sai Institute of Higher Learning

Date Written: December 19, 2007

Abstract

Financial time series have been documented to exhibit various stylized facts such as non-normal return distribution, volatility clustering, leverage effect, regime switching etc. In this paper we attempt to characterize these stylized facts in the BSE Sensex. We observe that the Sensex is characterized by the presence of many of these effects. We estimate models like GARCH, Artificial Neural Networks and Mixture of Gaussians that accommodate these effects.

Keywords: Stylized facts, GARCH, Neural Network

Suggested Citation

Subramanian, S. and Rao, U.S., Sensex and Stylized Facts an Empirical (December 19, 2007). 10th Capital Markets Conference, Indian Institute of Capital Markets. Available at SSRN: https://ssrn.com/abstract=962828 or http://dx.doi.org/10.2139/ssrn.962828

S. Subramanian (Contact Author)

Sri Sathya Sai Institute of Higher Learning ( email )

Brindavan Campus
Kadugodi
Bangalore
India

U.S. Rao

Sri Sathya Sai Institute of Higher Learning ( email )

Anantapur 515 001, Andhra Pradesh
India

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