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Updated on June 2, 2023 8:39 am
All countries
Updated on June 2, 2023 8:39 am
All countries
Updated on June 2, 2023 8:39 am

Volatility Analysis of Nepalese Stock Market

The modeling and forecasting of volatility in capital markets has been an area of research in financial , particularly with the recognition of time-varying volatility, volatility clustering, and asymmetric response of volatility to movements. With the anticipated growth of the Nepalese market and increasing investor interest in it, it is essential to understand the pattern of stock market volatility. This paper investigates the volatility of the Nepalese stock market by modeling daily return series consisting of 1297 observations 2003 to Feb 2009 various estimators and volatility models. The results suggest the most appropriate model for volatility modeling in the Nepalese market, where no significant asymmetry in the conditional volatility of was detected, is ,1). The study reveals strong evidence of time-varying volatility, a tendency for periods of high and low volatility to cluster, and a high level of persistence and predictability of volatility in the Nepalese stock market.

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