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International Journal of Management Research and Economics
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International Journal of Management Research and Economics
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| Volume 5, Issue 1, January 2025 | |
| Research PaperOpenAccess | |
A Comparison of Volatility Forecasting of Major Macro Economic Indicators |
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Krishnandu Ghosh1* |
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1Indira Gandhi Institute of Development Research, Gen A.K. Vaidya Marg, Goregaon(E), Mumbai 400065, India. E-mail: krishnandu@igidr.ac.in
*Corresponding Author | |
| Int.J.Mgmt.Res.&Econ. 5(1) (2025) 1-9, DOI: https://doi.org/10.51483/IJMRE.5.1.2025.1-9 | |
| Received: 11/08/2025|Accepted: 19/12/2024|Published: 25/01/2025 |
Volatility plays a significant role in forecasting because of its abrupt nature. In this paper, few volatility models like ARCH, GARCH, EGARCH, GJR – GARCH have been studied and compared for major Macroeconomic indicators like BSE Indices (India), Govt Bond Yield (India), CPI (India), Exchange Rate (INR / USD), GDP of US (USA), US Corporate Bond Yield (USA), USCPI Urban (USA) and US Interest Rate (USA).
Keywords: Time Series, Forecasting, Volatility, ARCH, GARCH, EGARCH, GJR-GARCH
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