Modeling Conditional Volatility of Indian Banking Sector’s Stock Market Returns

Modeling Conditional Volatility of Indian Banking Sector’s Stock Market Returns

The study attempts to capture conditional variance of Indian banking sector’s stock market returns across the years 2005 to 2015 by employing different GARCH based symmetric and asymmetric models. The results report existence of persistency as well as leverage effects in the banking sector return vo...

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Bibliographic Details
Main Author: Singh Amanjot
Format: Article
Language:English
Published: Editura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing house 2017-10-01
Series:Scientific Annals of Economics and Business
Subjects:
banking sector
conditional volatility
GARCH
sectoral indices
variances
G00
G11
Online Access:http://www.degruyter.com/view/j/saeb.2017.64.issue-3/saeb-2017-0021/saeb-2017-0021.xml?format=INT

Internet

http://www.degruyter.com/view/j/saeb.2017.64.issue-3/saeb-2017-0021/saeb-2017-0021.xml?format=INT

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