Journal of Applied Management- Jidnyasa

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Assessment of Volatility Spill-over in Non-Banking Financial Companies in India


Affiliations
1 Sudhir P R, Ph.D. Scholar, BITS Pilani., India
2 Associate Professor, KK Birla Goa Campus, Goa., India
 

The paper examines the volatility by applying beta and GARCH and volatility spillover by employing Dynamic Conditional correlation. All the NBFCs had a beta greater than one, indicating that the asset class is more volatile and riskier than the benchmark. The GARCH analysis also indicated the presence of short-term volatility and which is able to capture all the information available to traders and investors. The persistence of the long-term volatility parameter indicated the riskiness of the security. DCC- GARCH examined the spillover effect of one NBFC over the other. As both the parameters were insignificant, it suggested that volatility in one security may not be the cause of another security. Moreover, the volatilities were found to be decaying in nature.
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  • Assessment of Volatility Spill-over in Non-Banking Financial Companies in India

Abstract Views: 134  |  PDF Views: 81

Authors

Sudhir P R
Sudhir P R, Ph.D. Scholar, BITS Pilani., India
Debasis Patnaik
Associate Professor, KK Birla Goa Campus, Goa., India

Abstract


The paper examines the volatility by applying beta and GARCH and volatility spillover by employing Dynamic Conditional correlation. All the NBFCs had a beta greater than one, indicating that the asset class is more volatile and riskier than the benchmark. The GARCH analysis also indicated the presence of short-term volatility and which is able to capture all the information available to traders and investors. The persistence of the long-term volatility parameter indicated the riskiness of the security. DCC- GARCH examined the spillover effect of one NBFC over the other. As both the parameters were insignificant, it suggested that volatility in one security may not be the cause of another security. Moreover, the volatilities were found to be decaying in nature.

References