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A STUDY ON COMPARITIVE ANALYSIS OF VOLATILITY OF EQUITY SHARE PRICES FOR SELECTED STEEL COMPANIES IN INDIA
Journal: International Journal of Management (IJM) (Vol.7, No. 2)Publication Date: 2016-02-24
Authors : M. A. SHAKILA BANU; K. SARANYA;
Page : 261-265
Keywords : GARCH; Stock Market Volatility; Equity Share Price.;
Source : Download Find it from : Google Scholar
Abstract
This paper explain the stock market volatility at the individual script level and at the aggregate stock price level. The empirical analysis has been done by using Generalised Autoregressive Conditional Heteroscedasticity (GARCH) model. It is based on daily data for the time period from January 2015 to December 2015. The analysis reveals the same trend of volatility in the case of aggregate stock price and two different steel company. The GARCH (1, 1) model is persistent for the two company share price.
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Last modified: 2018-04-05 22:46:18