ECTAP
 
HomeDespre ECTAEventsPolitica editorialaTrimite un articolParteneri / link-uri utileArchiveAbonamentContact
 

ISSN 1841-8678   (print)
ISSN 1844-0029   (online)

News

Archive ECTAP

Note: for the period 1994-2003 the archive of the magazine will not be available online

Supplements ECTAP

If you cannot open the pdf file you need Adobe Reader.
download Adobe Reader

Creative Commons License

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.

Download the full article:  

Contents

Open acces

ECTAP

Search

BOOKS

The Economicity. The Epistemic Landscape, Marin Dinu, 2016

Partners


ISSN 1841-8678 (ediția print) / ISSN 1844-0029 (ediția online)
© Copyright Asociația Generală a Economiștilor din România (AGER) / General Association of Economists From Romania  (GAER)
Redacția: 010702, București, Calea Griviței nr. 21, sector 1, E-mail: economia.ta@edeconomica.com

© 2006-2024 AGER