Modelling Volatility of BSE Realty Index using Conditional Heteroscedasticity Models
Journal Title: MANTHAN: Journal of Commerce and Management - Year 2017, Vol 4, Issue 2
Abstract
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.
Authors and Affiliations
Dhananjaya Kadanda, Krishna Raj
Keywords
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- EP ID EP623961
- DOI 10.17492/manthan.v4i02.11462
- Views 195
- Downloads 0
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