Asymmetric Volatility Modeling and Leverage Effect of Nifty Stocks
Jincy K John1, R. Amudha2
1Jincy K John, Research Scholar, Department of Management Studies, Karunya Institute of Technology & Sciences, Coimbatore (Tamil Nadu), India.
2Dr. R. Amudha, Associate Professor, Department of Management Studies, Karunya Institute of Technology & Sciences, Coimbatore (Tamil Nadu), India.
Manuscript received on 07 April 2019 | Revised Manuscript received on 20 April 2019 | Manuscript published on 30 April 2019 | PP: 280-289 | Volume-8 Issue-6, April 2019 | Retrieval Number: F3497048619/19©BEIESP
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© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC-BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Abstract: This research article investigates the heteroskedastic behaviour of the NSE Nifty stocks representing the Indian equity market. It attempts to explore the effects of both bad or good news on volatility experienced in the Indian stock market during the period from 2003 to 2017 (The period when market has experienced both bull and bear phases). The price behaviour of auto sector stocks from NSE was used to predict the volatility. The standard GARCH models were applied to study whether there is volatility during the period of study and two commonly used asymmetric volatility models i.e EGARCH and TGARCH were employed to assess the leverage effect. The study reports an evidence of volatility which exhibits the clustering and persistence. The return series of the stocks selected for the study are found that they react to the bad news and good news asymmetrically. The research concludes that the negative shocks to these stocks deliver more volatility than the positive shocks, of the same magnitude.
Keyword: Volatility, Leverage Effect, GARCH Models.
Scope of the Article: Data Management