Prof.  Amalendu  Bhunia
Department of Commerce, University of Kalyani,  India

Title: AI-Based Volatility Forecasting: Evidence from Chinese and Indian Stock Markets

Abstract:

This study examines the effectiveness of artificial intelligence–based models in forecasting market volatility in the Chinese and Indian stock markets, two of the most dynamic and rapidly evolving emerging economies. While traditional econometric models such as GARCH-type specifications have long been used to measure and predict volatility, recent advances in machine learning offer the possibility of capturing complex, nonlinear patterns that conventional approaches may overlook. Using daily data from major indices in China and India, the study evaluates the predictive performance of selected artificial intelligence models including long short-term memory model, random forest regressors, and support vector machines against benchmark volatility models. The analysis focuses on periods of heightened uncertainty, allowing for an assessment of how well AI techniques respond to structural breaks, sudden information shocks, and changes in investor behaviour. Results indicate that AI-based models consistently outperform traditional methods in short-term volatility prediction, particularly during turbulent phases marked by policy announcements, global risk spillovers, and domestic market disruptions. The findings also suggest that AI models are better equipped to incorporate multiple data inputs, including market microstructure variables and sentiment indicators, thereby offering a more comprehensive representation of underlying volatility dynamics. By comparing the two markets, the study highlights notable differences in volatility behaviour, reflecting institutional structures, market depth, and investor composition.

Keywords: Volatility Forecasting, Artificial Intelligence Models, China and India, stock markets, Machine Learning Techniques.

Biography:

Dr. Amalendu Bhunia is the former Vice-Chancellor and the former Dean, Faculty of Arts & Commerce, University of Kalyani, West Bengal, India. He is a Professor, Department of Commerce, University of Kalyani. He has experience in teaching the subject of finance, taxation, and statistics for more than 28 years. He has published 108 research articles in foreign and national journals, 13 research articles in edited volume, and 16 books in national and international repute. At present, his Google Scholar Citation is 2018 with an h-index of 25. He has completed 4 research projects. His research interests are in the financial markets, corporate finance, international finance, and behavioral finance. He has presented 60 research papers at various international and national conferences. He served as an Editor-in-Chief, American Journal of Theoretical and Applied Business (Science Published Group, USA) for two years. Also, he served an Editor-in-Chief, Indo-Asian Journal of Finance and Accounting and Indian Journal of Finance and Economics (Academic Research Foundations Journals, India). Dr. Bhunia acted as a keynote speaker in 52 national, 25 international, and 14 foreign conferences. He is specialized as a resource person in the subject of ‘Research Methodology’ and ‘Statistical Analysis on Quantitative Data’.