Abstract
In this paper, the existence of fat-tail risk and other statistical properties of the Indian Stock Market are studied and analyzed. A fat-tail risk in financial markets refers to extreme swings in the markets. The daily data of S&P CNX Nifty during the years 2001 to 2009 is selected for experiment. The actual distribution of returns are examined which exhibit the statistical characteristics of leptokurtosis and the frequencies of distributions falling into certain ranges of daily returns are compared. The daily return of stock index is forecasted by Fuzzy Time Series Model. The statistical study has shown that the Indian Stock Market has more volatile or risky trading environment than normal distribution.
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