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A Study on Unfolding Volatility and Leverage Effect in Indian Stock Market

International Journal of Financial Management

Volume 8 Issue 4

Published: 2018
Author(s) Name: Shabarisha Narayan, Madegowda J. | Author(s) Affiliation: Assist. Prof., School of Business Studies and Social Sciences, Christ (Deemed to be Univ), Bengaluru
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Abstract

Return is the major attribute of an investment asset that can be considered as a random variable. The variability in return can be expressed as volatility. Forecasting volatility and modelling are the most prolific areas for the research. Volatility and Leverage effect are the two crucial stipulations to study market contradictions and trends that prevail for a drawn-out period. It is observed that when volatility beams the markets soar and when markets roar the volatility fades away. Leverage has a larger scope in managing volatility when investors tend to shuffle their positions. This literature aims to identify the volatility clustering and leverage effect caused to NSE NIFTY 50 index. The study contrasts volatility clustering using symmetric model of i.e., GARCH (1,1). Leverage effects is studied and compared using TGARCH and EGARCH models.

Keywords: Asymmetric Volatility, GARCH Models, Leverage Effect, Volatility Clustering

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