Examining Asymmetric Volatility Dynamism of Returns in the Infrastructure Sector in India during Covid 19: - A application of GARCH Models

Meena Sharma and Sunita
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Meena Sharma: University Business School, Panjab University Chandigarh
Sunita: Research Scholar (SRF), University Institute of Applied Management Sciences, Panjab University

Acta Universitatis Bohemiae Meridionalis, 2022, vol. 25, issue 2, 126-137

Abstract: Due to global shut down of economic activities and transportation, the infrastructure sector has to see a halt in operations due to disruptions in supply chain, impacting international investors as they became cautious of their investment position. The study is aimed at modelling the volatility of the returns in the infrastructure sector in India using S&P BSE Infrastructure Index during Covid-19 by applying univariate stipulations of the GARCH family of models such as GARCH (1,1), EGARCH (1,1), MGARCH (1,1). The study found the presence of asymmetric effects indicating that the arrival of Covid 19 news created more turmoil in the market. Also, significant relationship has been observed between the magnitude of variance and returns, meaning thereby the global investors, while making portfolio decisions, should emphasize that high risk implies high returns holds true for Infrastructure sector in India. The study suggests that the investors, while estimating value at risk, should consider that the infrastructure returns depict higher persistence level and the past volatility of the returns in the infrastructure sector has a significant impact on current volatility in case of BRICS economies.

Keywords: Volatility dynamism; Covid -19; Risk; Infrastructure sector; Return; Management (search for similar items in EconPapers)
JEL-codes: D81 G10 G11 G17 O18 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:boh:actaub:v:25:y:2022:i:2:p:126-137

DOI: 10.32725/acta.2022.014

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