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Persistence and Asymmetry Volatility in Indian Stock Market

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  • Puja Padhi

    (Pondicherry University)

Abstract

Asymmetry volatility refers to a situation in which a negative shock to financial time series is likely to cause volatility to rise by more than a positive shock of the same magnitude. This paper presents different model of GARCH. Most popular symmetric and asymmetric GARCH models are considered to investigate whether the volatility is time varying and to check the presence of asymmetric effect. The data consists of daily closing values of fifteen individual companies and two aggregate indices such as Sensex and Nifty over the period January 1, 1990 to November 30, 2004. The data is drawn from the Center for Monitoring Indian Economy (CMIE) PROWESS data base. The models investigated are GARCH (1,1), EGARCH and GJR. Thus, the paper analyses two asymmetric model that can capture the often reported “leverage effect” in the volatility of asset returns. We found that all the stock exhibited asymmetric effect and time-varying volatility.

Suggested Citation

  • Puja Padhi, 2006. "Persistence and Asymmetry Volatility in Indian Stock Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 4(2), pages 103-113, July.
    • Handle: RePEc:spr:jqecon:v:4:y:2006:i:2:d:10.1007_bf03546451
    DOI: 10.1007/BF03546451
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    References listed on IDEAS

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    Cited by:

    1. M N, Nikhil & Chakraborty, Suman & B M, Lithin & Ledwani, Sanket, 2022. "Modeling Indian Bank Nifty volatility using univariate GARCH models," MPRA Paper 116824, University Library of Munich, Germany, revised 06 Feb 2023.

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    More about this item

    Keywords

    Persistence; Asymmetric Effect; Volatility Feedback Hypothesis;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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