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Modelling stock market volatility using asymmetric GARCH models: evidence from BRICS stock markets

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  • Ayesha Siddiqui
  • Mohd Shamim

Abstract

This study aims to examine the evidence of the behaviour of asymmetric volatility in the BRICS stock markets, and the analysis is based on daily data from January 2004 to December 2018. Two models from the generalised autoregressive conditional heteroskedasticity (GARCH) family have been used to capture the leverage effect. Results based on both models provide strong evidence of presence of asymmetric volatility in the BRICS stock market. The results also reveal that there is evidence of the presence of strong volatility persistence in case of BRICS countries except in case of China. The study argues that higher volatility corresponds to a higher probability of a declining market, while lower volatility corresponds to a higher probability of a rising market. Investors can use this data on long-term stock market volatility to align their portfolios with the associated expected returns.

Suggested Citation

  • Ayesha Siddiqui & Mohd Shamim, 2024. "Modelling stock market volatility using asymmetric GARCH models: evidence from BRICS stock markets," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 30(1), pages 107-127.
    • Handle: RePEc:ids:gbusec:v:30:y:2024:i:1:p:107-127
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