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Stock Return Autocorrelation and Volatility in Emerging Nations

Tarika Singh, Seema Mehta, Abhijeet Saban, Sparshi Garg, Divya Pamnani

This research has been conducted to estimate the Value at Risk of nations and volatility of returns of indices by using GARCH based models in the emerging equity markets of the world.

For the study six emerging markets were taken into consideration viz. china, India, turkey, Mexico, Indonesia, Russia, and Brazil.  The data these emerging stock indices of the world have been taken for the research purpose. Different GARCH (auto regressive) based models were applied to estimate the volatility in markets , further different Garch based models were compared for best fit  and  VaR was calculated to estimate the risk. The results of Garch (1,1) model shows that there is no serial correlation in Brazil and Mexico and for  India, China, Russia and Turkey there exist positive serial correlation. E-garch which is superior model than garch reported that there is no serial correlation in Brazil, china, Mexico and Russia but for India and Turkey there exist positive serial correlation. Further a stronger garch model that is Pgarch was applied which showed that there is positive serial correlation in all the Emerging equity markets viz. India, China, Russia and Turkey. The generalized results can be of positive correlation between India, China, Russia and Turkey markets.

Volatility, Risk Estimation, Garch Based estimation, Emerging Nation, Autocorrelation
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