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

Modeling Conditional Volatility of Indian Banking Sector’s Stock Market Returns AbstractThe 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 volatility. On an expected note, the global financial crisis increased conditional volatility in the Indian banking sector during the years 2007 to 2009; further evidenced from Markov regime switches. The exponential GARCH (EGARCH) model is found to be the best fit model capturing time-varying variance in the banking sector. The results support strong implications for the market participants at the time of devising portfolio management strategies. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Scientific Annals of Economics and Business de Gruyter

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

Singh, Amanjot
Scientific Annals of Economics and Business , Volume 64 (3): 14 – Oct 1, 2017
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Publisher
de Gruyter
Copyright
© 2017 Amanjot Singh, published by De Gruyter Open
eISSN
2501-3165
DOI
10.1515/saeb-2017-0021
Publisher site
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Abstract

AbstractThe 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 volatility. On an expected note, the global financial crisis increased conditional volatility in the Indian banking sector during the years 2007 to 2009; further evidenced from Markov regime switches. The exponential GARCH (EGARCH) model is found to be the best fit model capturing time-varying variance in the banking sector. The results support strong implications for the market participants at the time of devising portfolio management strategies.

Journal

Scientific Annals of Economics and Business – de Gruyter

Published: Oct 1, 2017

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