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Range Volatility Spillover across Sectoral Stock Indices during COVID-19 Pandemic: Evidence from Indian Stock Market

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  • Datta, Susanta
  • Hatekar, Neeraj

Abstract

The study examines volatility spillover across sectoral stock indices from one Emerging Market Economies, viz. India during COVID-19 pandemic. Our contributions are threefold: (a) incorporation of range volatility during the pandemic, (b) comparative assessment of volatility spillover at the sectoral level, and (c) identify evidence of volatility spillover across different sectoral indices. Using daily historical price data for 11 sectoral stock indices during the first wave of the pandemic; we find that Range GARCH (1,1) performs better not only during the crisis but also during pandemic periods. The multivariate Range DCC model confirms evidence of volatility spillover across sectoral stock indices.

Suggested Citation

  • Datta, Susanta & Hatekar, Neeraj, 2022. "Range Volatility Spillover across Sectoral Stock Indices during COVID-19 Pandemic: Evidence from Indian Stock Market," MPRA Paper 117285, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:117285
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    More about this item

    Keywords

    Forecasting; Volatility; Spillover; Return; Range; NIFTY; COVID 19;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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