Econometric Models for Volatility Analysis in Interdependence of Various Stock Markets

Abstract

Investing money in the stock market is assumed to be risky because stock markets are volatile. It is volatile because macroeconomics variables influence it and effect stock prices. A lot of researches were carried out in the past to measure volatility through various econometric models but still it is an ongoing process. This study was undertaken to look into the various econometrics models applied to analysis the volatility in interdependence of various stock markets. Various models like Descriptive Statistics, tests for stationarity i.e. ADF Test, PP test and GARCH family models for heteroscedasticity were undertaken in the study.