Deep Learning Tools for Predicting Stock Market Movements

6Various Model Applications for Causality, Volatility, and Co-Integration in Stock Market

Swaty Sharma

Mittal School of Business, Lovely Professional University, Phagwara, Punjab, India

Abstract

Causality, volatility, and co-integration are fundamental concepts in econometrics and financial research, playing a crucial role in understanding the dynamics of financial markets. This chapter explores various models and their applications for analyzing causality, volatility, and co-integration. An overview of these concepts is provided and discusses how different models have been utilized to investigate their implications. This chapter covers a range of methodologies, including time series analysis, vector autoregression, GARCH models, and co-integration analysis. Additionally, this chapter examined real-world applications of these models in finance and economics, highlighting their contributions to risk management, portfolio optimization, and market efficiency. The findings presented in this chapter contribute to a deeper understanding of the dynamics of financial markets and provide valuable insights for practitioners and researchers.

Keywords: Stock market, econometric models, co-integration test, granger causality test, volatility test

6.1 Introduction

The study of financial markets and their complex dynamics has been a subject of great interest and significance in the field of finance. Financial econometrics provides valuable tools and methodologies to analyze and understand ...