Sunny days and market swings: risk assessment in the Indian green venture landscape

Mukul Bhatnagar, Sanjay Taneja, Zelhuda Shamsuddin and Amar Johri

Journal of Energy Markets

Abstract: Indian renewable energy markets have great potential but are also prone to unpredictable market fluctuations that must be carefully navigated.We explore the intricacies of risk assessment in the ever-changing world of renewable energy businesses by applying the exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model to evaluate the consequence of shocks (news) on the volatility of the Indian renewable energy market. First, the autoregressive–moving-average model was applied, based on the unit root test results. Next, a heteroscedasticity test was applied, followed by the EGARCH model. Then, beta analysis was conducted to measure size, sign and GARCH effects. Statistically significant size and GARCH effects were recorded in the final results, and a statistically insignificant negative sign effect was observed in the EGARCH model.

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