Predicting the volatility between the exchange rate and stock market

Abstract

Commodities play a significant role in the economic progression of developing countries like India. Investment in stock and election of appropriate stock for the investment that will achieve profit for the investors. In this perspective, the article has depicted the correlation dynamically among the prices of gold and the exchange rate in the Indian market. The data acquired from the Indian stock market is analyzed by the statistical models. This model is utilized in the estimation of volatility and return across the stock market. From the investigation of stock market data and the correlation examination by DCC-GARCH, it is identified that gold is a proficient hedging commodity for the investors of Indian stock than other variables. The asymmetric impression of covariance is perceived among the Nifty 50 and some other variables. The article also emphases on supporting the stock investors and diversifiers of the portfolio during the decision-making process of investment.