Stock Volatility Modelling With Augmented Garch Model For Voltas Ltd

Abstract

This research paper seeks to examine the efficiency of the augmented GARCH models in estimating the stock volatility. GARCH models that were introduced by Bollerslev (1986) became popular for the modelling of time varying volatility in the financial markets. However, due to the specificity of financial markets and variation of factors that define it, extra parameters may be required to improve the model. To investigate further, the study uses an extended GARCH model that integrates other features including leverage effects, exogenous variables and non-linearities. These components seek to establish features giving clearer volatility patterns of stock markets. In this paper, empirical comparison of the extended GARCH model with the basic forms of the models is done. The outcomes are expected to be of interest to financial investors, advisors and risk managers