Forecasting Stock Market Volatilty of Emerging Countries

This paper forecasts the stock market volatility of emerging countries by using daily observations of indices for the period January 2000 to January 2011by using ARCH, GARCH, EGARCH, TARCH and PGARCH models.The study also employed symmetric loss functions to measure the forecasting accuracy of these models. The analysis shows that the recent news of stock market can be used to improve the prediction of emerging stock market volatility. This study also finds the evidence of leverage and asymmetric effect of stock market and indicates that bad news generate more impact on the volatility of the stock price in the market. Further the study concludes that asymmetric GARCH models provide better prediction result than the symmetric GARCH model.