Kumar, Ashish (2021) Modeling Volatility and Forecasting using GARCH. Masters thesis, Indian Institute of Science Education and Research Kolkata.
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Text (MS Dissertation of Ashish Kumar (16MS160))
16MS160_Thesis_file.pdf - Submitted Version Restricted to Repository staff only Download (767kB) |
Abstract
The purpose of this project is to model volatility and forecasting using Generalized AutoRe- gressive Conditional Heteroskedasticity (GARCH) model .This paper examines the deviation of the model when applied to real world problem and how to resolve that issue . This paper also include Stochastic Volatility model and expressed it in State-Space form so that it can be easily forecast by using Kalman �lter and we have a control on its error term . The model is applied on the daily S&P100 index taken from Bombay Stock Exchange and then compared between its actual return and its 30 days ahead predicted volatility .
| Item Type: | Thesis (Masters) |
|---|---|
| Additional Information: | Supervisor: Dr. Satyaki Mazumder |
| Uncontrolled Keywords: | Model Volatility, GARCH, Stochastic Volatility Model |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Department of Mathematics and Statistics |
| Depositing User: | IISER Kolkata Librarian |
| Date Deposited: | 22 Oct 2025 05:44 |
| Last Modified: | 22 Oct 2025 05:44 |
| URI: | http://eprints.iiserkol.ac.in/id/eprint/1866 |
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