Modeling Jumps and Volatility of the Indian Stock Market Using High-Frequency Data
Article Type
Research Article
Publication Title
Journal of Quantitative Economics
Abstract
Recent advancements in technology have led to wide availability of high-frequency financial data. The aim of this paper is to study the behavior of the Indian stock market. In particular, we analyze the returns at 5 min interval from NSE using the index NIFTY and the stocks State Bank of India and Infosys. A non-parametric approach is taken to detect jumps in the return process. The analysis shows that index jumps relate very closely with the general market news and announcements while individual stock jumps are associated with company specific news. We find that volatility of the market is best captured by asymmetric power ARCH models.
First Page
137
Last Page
150
DOI
10.1007/s40953-016-0028-5
Publication Date
6-1-2016
Recommended Citation
Sen, Rituparna and Mehrotra, Pulkit, "Modeling Jumps and Volatility of the Indian Stock Market Using High-Frequency Data" (2016). Journal Articles. 4302.
https://digitalcommons.isical.ac.in/journal-articles/4302