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Theoretical and Applied Economics
No. 2 / 2023 (635), Summer

Measuring stock market uncertainty

Prasad Teja DAKEY
University of Hyderabad, India

Abstract. This paper constructs economic uncertainty measure for India using daily stock market indicators and compare with widely used proxy for uncertainty i.e., the VIX. It is observed that constructed measure is a better suitable proxy for economic uncertainty than VIX. Also, the study uses wavelet analysis to understand the association between uncertainty and other high- frequency indicators of the Economy. Wavelet analysis depicts a strong covariance between the uncertainty and other indicators in periods of high uncertainty.

Keywords: uncertainty, stock-market, stochastic volatility, wavelets, India.

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