Volatility Spillover Effect from Foreign Stock Exchanges to National Stock Exchanges
Journal Title: Scholars Journal of Economics, Business and Management - Year 2016, Vol 3, Issue 6
Abstract
The present study examines the volatility spillover from foreign stock exchanges viz. NYSE Composite, NASDAQ 100, Nikkei 225 and FTSE 100 to national stock exchange viz. CNX Nifty. The time series daily closing data of seven years has been collected for the period starting from 1st April 2008 to 31st March 2015 for the study. For analysis econometric tools such as, descriptive analysis, ADF test for unit root, D-W Statistic, L-Jung Box Q Statistic, Breusch-Pagan Test, AR (1) Model, GARCH (1,1) and EGARCH (1,1) Model has been used. The objective of the paper is to determine if volatility spillover in one market influence the volatility of returns in the other market. GARCH (1, 1) and EGARCH (1,1) models used for modelling of spillover between returns of foreign stock exchanges and National stock exchange. This study concludes that volatility spillover between foreign stock exchanges and national stock exchange must be measured or predicted by EGARCH (1,1) model because it is more significant than GARCH (1,1) model. Keywords:Volatility Spillover, Stock Market, GARCH, EGARCH
Authors and Affiliations
Dr. KapilShrimal
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