Economics, Econometrics and Finance
4 years ago

Indian Stock Market Volatility Uncovered: Negative Shocks Impacting Conditional Variance

SSRN Electronic Journal
Modelling Stock Market Return Volatility: Evidence from India
S. Singh, L. K. Tripathi

Paper Summary

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The article examines the volatility of the Indian stock market using data from 2001 to 2016. They used different models to analyze the volatility patterns, finding that GARCH-M (1, 1) and EGARCH (1, 1) were the most suitable. The study shows that there is a positive but insignificant risk premium in the market. Additionally, negative shocks have a significant impact on the volatility of the stock market.