A Study on Unfolding Asymmetric Volatility: A Case Study of National Stock Exchange in India

• 발행기관: 한국유통과학회
• 저자명: Ravi Kumar SAMINENI Raja Babu PUPPALA Syamsundar KULAPATHI Shiva Kumar MADAPATHI
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.4, 857~861쪽, 전체 5쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.04.30

영문 초록

The study aims to find the asymmetric effect in National Stock Exchange in which the Nifty50 is considered as proxy for NSE. A return can be stated as the change in value of a security over a certain time period. Volatility is the rate of change in security value. It is an arithmetical assessment of the dispersion of yields of security prices. Stock prices are extremely unpredictable and make the investment in equities risky. Predicting volatility and modeling are the most profuse areas to explore. The current study describes the association between two variables, namely, stock yields and volatility in equity market in India. The volatility is measured by employing asymmetric GARCH technique, i.e., the EGARCH (1,1) tool, which was used in building the study. The closing prices of Nifty on day-to-day basis were used for analysis from the period 2011 to 2020 with 2,478 observations in the study. The model arrests the lopsided volatility during the mentioned period. The outcome of asymmetric GARCH model revealed the subsistence of leverage effect in the index and confirms the impact of conditional variance as well. Furthermore, the EGARCH technique was evidenced to be apt in seizure of unsymmetrical volatility.

목차

1. Introduction

2. Literature Review

3. Research Methodology

4. Results

5. Conclusion

키워드

Volatility Asymmetric Effect Conditional Variance Nifty Index India