volatility modelling using garch models and predictive power of implied volatility a study of nifty50 index using high frequency data

Abstract

newline Volatility estimation is critical in developing risk management systems, ensuring newlineproper market regulation by market regulators, designing and managing an newlineoptimal portfolio, and assisting investors in making informed investment newlinedecisions. In this study, the Realized Variance was used as an external regressor newlinein the already popular GARCH family (GARCH(1,1), EGARCH(1,1) and newlineTGARCH(1,1)) models to determine if any improvements could be made. The newlineIndiaVIX index is used as a proxy for Implied Volatility in order to compare the newlineforecasting efficiency of Implied Volatility and GARCH models newline