Modelling Stock Market Volatility: Evidence from India

Karunanithy Banumathy and Ramachandran Azhagaiah
Additional contact information
Karunanithy Banumathy: Pondicherry Central University, India
Ramachandran Azhagaiah: Pondicherry Central University, India

Managing Global Transitions, 2015, vol. 13, issue 1 (Spring), 27-41

Abstract: This study empirically investigates the volatility pattern of Indian stock market based on time series data which consists of daily closing prices of S&P CNX Nifty Index for ten years period from 1st January 2003 to 31st December 2012. The analysis has been done using both symmetric and asymmetric models of Generalized Autoregressive Conditional Heteroscedastic (GARCH). As per Akaike Information Criterion (AIC) and Schwarz Information Criterion (SIC), the study proves that GARCH (1,1) and TGARCH (1,1) estimations are found to be most appropriate model to capture the symmetric and asymmetric volatility respectively. The study also provides evidence for the existence of a positive and insignificant risk premium as per GARCH-M (1,1) model. The asymmetric effect (leverage) captured by the parameter of EGARCH (1,1) and TGARCH (1,1) models show that negative shocks have significant effect on conditional variance (volatility).

Keywords: asymmetric volatility; conditional volatility; GARCH models and leverage effect (search for similar items in EconPapers)
JEL-codes: C32 C53 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.fm-kp.si/zalozba/ISSN/1581-6311/13_027-041.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mgt:youmgt:v:13:y:2015:i:1:p:27-41

Ordering information: This journal article can be ordered from
http://www.mgt.fm-kp.si

Access Statistics for this article

Managing Global Transitions is currently edited by Jana Hojnik

More articles in Managing Global Transitions from University of Primorska, Faculty of Management Koper Contact information at EDIRC.
Bibliographic data for series maintained by Alen Jezovnik ().