Range Volatility Spillover across Sectoral Stock Indices during COVID-19 Pandemic: Evidence from Indian Stock Market

Susanta Datta and Neeraj Hatekar

MPRA Paper from University Library of Munich, Germany

Abstract: The study examines volatility spillover across sectoral stock indices from one Emerging Market Economies, viz. India during COVID-19 pandemic. Our contributions are threefold: (a) incorporation of range volatility during the pandemic, (b) comparative assessment of volatility spillover at the sectoral level, and (c) identify evidence of volatility spillover across different sectoral indices. Using daily historical price data for 11 sectoral stock indices during the first wave of the pandemic; we find that Range GARCH (1,1) performs better not only during the crisis but also during pandemic periods. The multivariate Range DCC model confirms evidence of volatility spillover across sectoral stock indices.

Keywords: Forecasting; Volatility; Spillover; Return; Range; NIFTY; COVID 19 (search for similar items in EconPapers)
JEL-codes: C22 C58 G17 (search for similar items in EconPapers)
Date: 2022-04-04
New Economics Papers: this item is included in nep-ets, nep-fmk and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:117285

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