Open Access
Subscription Access
Open Access
Subscription Access
Volatility Clustering and Persistence of Volatility in National Stock Exchange Market of India
Subscribe/Renew Journal
The paper examines the volatility clustering, leverage effect and persistence of volatility for the NSE three broad market indices by using GARCH models. It reveals that the volatility in these indices exhibits characteristics like volatility clustering, asymmetry effect and persistence of volatility in their daily return. It reveals that both the recent as well as past news have an impact on volatility of these indices. It also finds the existence of leverage effect indicating that the negative shocks or bad news have more impact on volatility than positive shocks or good news.
Subscription
Login to verify subscription
User
Font Size
Information
- Balaban, E. and A. Bayar (2005), Stock Returns and Volatility: Empirical Evidence from Fourteen Countries, Applied Economics Letters, 12(10): 603–611.
- Enders, Walter (2014), Applied Econometric Time Series (4th Ed.), John Wiley & Sons.
- Engle, R.F. and V.K. Ng (1993), Measuring and Testing the Impact of News on Volatility, The Journal of Finance, 48(17): 49-78.
- French, K.R., G.W. Schwert and R.F. Stambaugh (1987), Expected Stock Returns and Volatility, Journal of Financial Economics, 19(1): 3-29.
- Gahan, P., J.K. Mantri, J.K. Parida and P.K. Sanyal (2012), Volatility Study of Indian Stock Market During its Post Derivative Period, World Finance & Banking Symposium-Shanghai, China (ISBN-989-20-3452).
- Glosten, L.R., R. Jagannathan and D.E. Runkle (1993), On the Relation between the Expected Value and the Volatility of Nominal Excess Return on Stocks, Journal of Finance, 48(5): 1779-1801.
- Karmakar, M. (2006), Stock Market Volatility in the Long Run, 1961-2005, Economic and Political Weekly, 41(18): 1796-1802.
- Mcleod, A.I. and W.K. Li (1983), Diagnostics Checking ARMA Time Series Models Using Squared Residual Autocorrelations, Journal of Time Series Analysis, 4(4): 269-273.
- Nelson, D. (1991), Conditional Heteroscedasticity in Asset Returns: a New Approach, Econometrica, 59(2): 347-370.
- Nicholas, A. and P. Nicholas (2011), Stock Returns Volatility: The European Big Three Before And During Crisis, International Journal of Economic Research, 8(2): 153-177.
- Paudyal, Krishna and Liesl Saldanha (1997), Stock Returns and Volatility in Two Regime Markets: International Evidence, International Review of Financial Analysis, 6(3): 209-228.
- Sarkar, S. and A. Banerjee (2006), Modeling Daily Volatility of the Indian Stock Market using Intra-day Data, Indian Institute of Management Calcutta, Working Paper Series No. 588, pp. 1- 32.
- Schwert, G.W. (1989), Why Does Stock Market Volatility Change Over Time?, Journal of Finance, 44(5): 1115-1153.
- Song, H., X. Liu and P. Romilly (1998), Stock Returns and Volatility: An Empirical Study of Chinese Stock Market, International Review of Applied Economics, 12(1): 129-139.
- Zakoian, J.M. (1994), Threshold Heteroskedastic Models, Journal of Economic Dynamics and Control, 18(5): 931-955.
Abstract Views: 544
PDF Views: 0