Econometric Analysis of Financial Timeseries: Empirical Evidence across Global Stock Indices

Tuhin M and Subhrajyoti M

Published on: 2023-07-04

Abstract

Conditional Heteroskedasticity of Nasdaq(USA), Nikkei225(Japan), DAX Performance Index(Germany), Nifty Fifty(India), FTSE 100(UK), and CAC40(France) has been investigated empirically in this study as a fresh inquiry. Open source software R language is used over daily returns of the said financial time-series during the last ten years (2012 to 2022) for ADF test along with ARCH and GARCH models. Evidence of asymmetry, volatility clustering, and long memory has been found as a result of this study.