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Modeling Volatility for the Indian Stock Market

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  • M Thiripalraju
  • Rajesh Acharya H

Abstract

: This paper is an attempt to model the volatility of the equity data of the two Indian stock markets. The study found volatility clustering in the daily returns of indices. Different GARCH models were estimated for various indices of NSE and BSE, the two premier Indian stock exchanges. GARCH(1, 1) with MA(1) in the mean equation was found to fit better than the other models. The models were used to test the spillover effect between the benchmark indices of the two Indian markets, to test for the possibility of volatility transmission within a country and between the two exchanges. The study found volatility transmission between the two markets.

Suggested Citation

  • M Thiripalraju & Rajesh Acharya H, 2010. "Modeling Volatility for the Indian Stock Market," The IUP Journal of Applied Economics, IUP Publications, vol. 0(1), pages 79-105, January.
  • Handle: RePEc:icf:icfjae:v:09:y:2010:i:1:p:79-105
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    Cited by:

    1. Mourouzidou-Damtsa, Stella & Milidonis, Andreas & Stathopoulos, Konstantinos, 2019. "National culture and bank risk-taking," Journal of Financial Stability, Elsevier, vol. 40(C), pages 132-143.

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