Record Details

Modelling Volatility of BSE Realty Index using Conditional Heteroscedasticity Models

MANTHAN: Journal of Commerce and Management

View Archive Info
 
 
Field Value
 
Title Modelling Volatility of BSE Realty Index using Conditional Heteroscedasticity Models
 
Creator Kadanda, Dhananjaya
Raj, Krishna
 
Subject Conditional volatility; Volatility clustering; GARCH model; Leverage effect.
 
Description This study empirically examines the nature of volatility in BSE Realty Index using daily closing price of BSE Realty Index for five and half years period from January 2011 to June 2016. The study employed conditional heteroscedasticity models, both symmetric and asymmetric, for the analysis. The study found that the volatility is persistent in the Index return indicating the presence of volatility clustering in the series. Further, the study reports the presence of asymmetric or leverage effect in the series as the leverage coefficient γ is significant in EGARCH model indicating that negative shocks have significant effect on volatility. However, the study did not find significant risk-return trade-off in the series.
 
Publisher Journal Press India
 
Date 2018-01-30
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.myresearchjournals.com/index.php/MANTHAN/article/view/11462
10.17492/manthan.v4i02.11462
 
Source MANTHAN: Journal of Commerce and Management; Vol 4, No 02 (2017)
2347-4440
 
Language eng
 
Relation http://www.myresearchjournals.com/index.php/MANTHAN/article/view/11462/10867