Title: Vector autoregressive approach for impact of oil India stock price on fuel price in India
Abstract: Financial market volatility is an important input for investment and financial market regulation. In recent years, the different varieties of models that apparently predict changes in stock market prices have been introduced. Time series modeling has a major role in forecasting of stock market price related issues. The dynamic relationships between dollar rate, crude oil, and fuel price are examined based on a vector autoregressive model with the use of Granger causality test, impulse response function, and variance decomposition for the data. The possible methods for forecasters are emphasized and their relevance for the Efficient Market Hypothesis is also discussed.
Publication Year: 2017
Publication Date: 2017-04-03
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 2
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