Persistence and Asymmetry Volatility in Indian Stock Market

Puja Padhi ()
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Puja Padhi: Pondicherry University

Journal of Quantitative Economics, 2006, vol. 4, issue 2, No 9, 103-113

Abstract: Abstract Asymmetry volatility refers to a situation in which a negative shock to financial time series is likely to cause volatility to rise by more than a positive shock of the same magnitude. This paper presents different model of GARCH. Most popular symmetric and asymmetric GARCH models are considered to investigate whether the volatility is time varying and to check the presence of asymmetric effect. The data consists of daily closing values of fifteen individual companies and two aggregate indices such as Sensex and Nifty over the period January 1, 1990 to November 30, 2004. The data is drawn from the Center for Monitoring Indian Economy (CMIE) PROWESS data base. The models investigated are GARCH (1,1), EGARCH and GJR. Thus, the paper analyses two asymmetric model that can capture the often reported “leverage effect” in the volatility of asset returns. We found that all the stock exhibited asymmetric effect and time-varying volatility.

Keywords: Persistence; Asymmetric Effect; Volatility Feedback Hypothesis (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/BF03546451

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