Journal Information

Print ISSN 2228-7019
Online ISSN 2228-7027

Frequency: 4 Issues/Year


    An official journal of the Islamic Azad University (IAU)

Univariate Garch Models Applied to the Bombay Stock Exchange and National Stock Exchange Stock Indices

A. Shanthi, Dr.R. Thamilselvan


This paper examine the changes in volatility structure and their influence of risk and return behaviour of investors at the developed and developing economies by applying three GARCH class of family models like GARCH (1,1), TGARCH (1,1) and EGARCH (1,1) for the period spanning from 1st January 1995 to 31st December 2015. The complete dataset for the Nifty 50 and BSE Sensex were divided with pre period starting from 1st January 1995 till 31st December 2005 and post period, respectively. The results of the study indicate that symmetric information is not suitable for certain period considered in this study. Hence, Integrated GARCH model is required in certain specification. As far as asymmetric and leverage effect is concern, the TGARCH model outperformed all the models due to the information availability and the whole information set was envisaged with positive effect in all the period attempted in this study.

Keywords: Volatility, GARCH Model, Symmetric, Asymmetric, Leverage Effect

Volume: 9 | Issue: 4

Pages: 22-33

Paper ID : 190044

Issue Date: November , 2019

Download Full Text