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This document summarizes a research paper that compares the performance of the GARCH volatility model and the India VIX index in predicting the underlying volatility of the Nifty 50 stock market index in India. The paper uses high-frequency intraday return data from the National Stock Exchange to estimate realized volatility and out-of-sample volatility predictions from September 2007 to November 2008 are evaluated for the GARCH model and India VIX index. The performance of the two approaches is assessed us

Author

Akshay Shaikh

Language

EN