CERTIFICATE

IMPACT FACTOR 2021

Subject Area

  • Life Sciences / Biology
  • Architecture / Building Management
  • Asian Studies
  • Business & Management
  • Chemistry
  • Computer Science
  • Economics & Finance
  • Engineering / Acoustics
  • Environmental Science
  • Agricultural Sciences
  • Pharmaceutical Sciences
  • General Sciences
  • Materials Science
  • Mathematics
  • Medicine
  • Nanotechnology & Nanoscience
  • Nonlinear Science
  • Chaos & Dynamical Systems
  • Physics
  • Social Sciences & Humanities

Why Us? >>

  • Open Access
  • Peer Reviewed
  • Rapid Publication
  • Life time hosting
  • Free promotion service
  • Free indexing service
  • More citations
  • Search engine friendly

Examination of garch model for determinants of infosys stock returns

Author: 
Dr. Jeelan Basha, V.
Subject Area: 
Social Sciences and Humanities
Abstract: 

The research on asset volatility in financial market is the foundation of finance. To measure and predict asset volatility accurately, Bollerslev built a generalised ARCH (GARCH) model based on the ARCH model. The GARCH process is often preferred by financial modeling professionals because it provides a more real-world context than other forms when trying to predict the prices and returns of financial instruments. It is the general process for a GARCH model involves three steps. The first is to estimate a best-fitting autoregressive model; secondly, compute autocorrelations of the error term and lastly, test for significance. The objective of the study is to GARCH (1,1) model for the volatility of Infosys stock returns and factors influencing the volatility in the returns of Infosys stock returns. The study covers monthly data ranging from Sept. 2009 to Nov.2015 having 98 observations. The empirical investigation considers returns of closing prices of all variables namely Infosys Stock Return as dependent and S&P CNX Nifty and Dow Jones Industrial Average as independent variables. Data for all variables are collected from the official websites of nseindia.com and yahoofinance.com. E-Views is used to analyze the data. It is concluded that despite there is a weakness of this student’s t distribution model about its non-normality of residuals, many suggest that non-normality in the residuals may not be that serious problem for estimation. Hence this model will be used for forecasting.

PDF file: 

CALL FOR PAPERS

 

ONLINE PAYPAL PAYMENT

IJMCE RECOMMENDATION

Advantages of IJCR

  • Rapid Publishing
  • Professional publishing practices
  • Indexing in leading database
  • High level of citation
  • High Qualitiy reader base
  • High level author suport

Plagiarism Detection

IJCR is following an instant policy on rejection those received papers with plagiarism rate of more than 20%. So, All of authors and contributors must check their papers before submission to making assurance of following our anti-plagiarism policies.

 

EDITORIAL BOARD

CHUDE NKIRU PATRICIA
Nigeria
Dr. Swamy KRM
India
Dr. Abdul Hannan A.M.S
Saudi Arabia.
Luai Farhan Zghair
Iraq
Hasan Ali Abed Al-Zu’bi
Jordanian
Fredrick OJIJA
Tanzanian
Firuza M. Tursunkhodjaeva
Uzbekistan
Faraz Ahmed Farooqi
Saudi Arabia
Eric Randy Reyes Politud
Philippines
Elsadig Gasoom FadelAlla Elbashir
Sudan
Eapen, Asha Sarah
United State
Dr.Arun Kumar A
India
Dr. Zafar Iqbal
Pakistan
Dr. SHAHERA S.PATEL
India
Dr. Ruchika Khanna
India
Dr. Recep TAS
Turkey
Dr. Rasha Ali Eldeeb
Egypt
Dr. Pralhad Kanhaiyalal Rahangdale
India
DR. PATRICK D. CERNA
Philippines
Dr. Nicolas Padilla- Raygoza
Mexico
Dr. Mustafa Y. G. Younis
Libiya
Dr. Muhammad shoaib Ahmedani
Saudi Arabia
DR. MUHAMMAD ISMAIL MOHMAND
United State
DR. MAHESH SHIVAJI CHAVAN
India
DR. M. ARUNA
India
Dr. Lim Gee Nee
Malaysia
Dr. Jatinder Pal Singh Chawla
India
DR. IRAM BOKHARI
Pakistan
Dr. FARHAT NAZ RAHMAN
Pakistan
Dr. Devendra kumar Gupta
India
Dr. ASHWANI KUMAR DUBEY
India
Dr. Ali Seidi
Iran
Dr. Achmad Choerudin
Indonesia
Dr Ashok Kumar Verma
India
Thi Mong Diep NGUYEN
France
Dr. Muhammad Akram
Pakistan
Dr. Imran Azad
Oman
Dr. Meenakshi Malik
India
Aseel Hadi Hamzah
Iraq
Anam Bhatti
Malaysia
Md. Amir Hossain
Bangladesh
Ahmet İPEKÇİ
Turkey
Mirzadi Gohari
Iran