Estimating Stock Market Volatility Using Exponential Garch Model with Skewed Student- T Distribution

Abstract

The aim of the study is to empirically investigate the performance of the EGARCH (1, 1) volatility model with the normal, skew-normal, and student t and skewed student t distributions on the NSE Nifty Fifty Index. Ten years of daily closing rates over the period of January 2010 to December 2020, for a total of 2730 observations, have been analyzed. According to the information criterion, this study has found that the EGARCH (1, 1) model under skewed student t distribution is a better fit than other distribution models.