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An Empirical Analysis of Volatility and Asymmetric Behaviour: Case of NSE and BSE


Affiliations
1 Assistant Professor, Department of Commerce, Govt. College Dujana, Jhajjar, Haryana-124102, India And Research Scolar at: School of Management & Commerce, K.R. Mangalam University, Gurugram, Haryana-122103, India
2 School of Management & Commerce K.R. Mangalam University, Gurugram, Haryana-122103, India
3 Assistant Professor Department of MBA, Maharaja Agarsen Institute of Technology (IP University), Rohini, Delhi-110086,, India
 

The price, return and different events in stock market are uncertain but this uncertainty can provide insight for making investment decisions, if volatility is measured through appropriate model. In this research work, efforts are made to examine and compare the symmetric and asymmetric volatility in two major stock markets of India through the application of econometric models i.e. GARCH, TGARCH and EGARCH. Daily closing prices of NSE (Nifty-50) and BSE (Sensex) from 1st April 2010 to 31st March 2022 is used for the examination purpose. The results show that volatility in Indian market is persisted for a long time The asymmetric behaviour of volatility is also observed in Indian market. Findings are useful to design dynamic pricing, hedging and portfolio management strategies to all market participants.

Keywords

Stock Market Volatility, GARCH Models, Volatility clustering, TGARCH, EGARCH.
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  • An Empirical Analysis of Volatility and Asymmetric Behaviour: Case of NSE and BSE

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Authors

Sunita
Assistant Professor, Department of Commerce, Govt. College Dujana, Jhajjar, Haryana-124102, India And Research Scolar at: School of Management & Commerce, K.R. Mangalam University, Gurugram, Haryana-122103, India
Anshika Prakash
School of Management & Commerce K.R. Mangalam University, Gurugram, Haryana-122103, India
Ritu Gupta
Assistant Professor Department of MBA, Maharaja Agarsen Institute of Technology (IP University), Rohini, Delhi-110086,, India

Abstract


The price, return and different events in stock market are uncertain but this uncertainty can provide insight for making investment decisions, if volatility is measured through appropriate model. In this research work, efforts are made to examine and compare the symmetric and asymmetric volatility in two major stock markets of India through the application of econometric models i.e. GARCH, TGARCH and EGARCH. Daily closing prices of NSE (Nifty-50) and BSE (Sensex) from 1st April 2010 to 31st March 2022 is used for the examination purpose. The results show that volatility in Indian market is persisted for a long time The asymmetric behaviour of volatility is also observed in Indian market. Findings are useful to design dynamic pricing, hedging and portfolio management strategies to all market participants.

Keywords


Stock Market Volatility, GARCH Models, Volatility clustering, TGARCH, EGARCH.

References





DOI: https://doi.org/10.23862/kiit-parikalpana%2F2023%2Fv19%2Fi2%2F223464