ISSN 2394-5125
 

Research Article 


MODELING ASYMMETRIC VOLATILITY: EVIDENCE FROM INDIA

P. Raja Babu, Samineni Ravi Kumar, A V Naganjaneyulu.

Abstract
The negative relationship which lies between asset value and variability is described as leverage effect. The aim of the paper is to find the influence of good as well as bad news on the fluctuations of Nifty Bank Index. The present study has used data for a period of 10 years from January2009 to December2018. Asymmetric volatility was estimated using EGARCH (1,1) model. This conventional fact reveals the sign of innovation had a considerable influence on the volatility of earnings and the onset of bad information in the market generates more volatility compared to that of good information. Thus, this study concludes that bad surprises causes further volatility to good news in the Nifty Bank Index.

Key words: Leverage Effect, Asymmetric Volatility, EGARCH model, Nifty Bank Index


 
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How to Cite this Article
Pubmed Style

P. Raja Babu , Samineni Ravi Kumar, A V Naganjaneyulu. MODELING ASYMMETRIC VOLATILITY: EVIDENCE FROM INDIA. JCR. 2020; 7(9): 845-850. doi:10.31838/jcr.07.09.158


Web Style

P. Raja Babu , Samineni Ravi Kumar, A V Naganjaneyulu. MODELING ASYMMETRIC VOLATILITY: EVIDENCE FROM INDIA. http://www.jcreview.com/?mno=112314 [Access: May 30, 2021]. doi:10.31838/jcr.07.09.158


AMA (American Medical Association) Style

P. Raja Babu , Samineni Ravi Kumar, A V Naganjaneyulu. MODELING ASYMMETRIC VOLATILITY: EVIDENCE FROM INDIA. JCR. 2020; 7(9): 845-850. doi:10.31838/jcr.07.09.158



Vancouver/ICMJE Style

P. Raja Babu , Samineni Ravi Kumar, A V Naganjaneyulu. MODELING ASYMMETRIC VOLATILITY: EVIDENCE FROM INDIA. JCR. (2020), [cited May 30, 2021]; 7(9): 845-850. doi:10.31838/jcr.07.09.158



Harvard Style

P. Raja Babu , Samineni Ravi Kumar, A V Naganjaneyulu (2020) MODELING ASYMMETRIC VOLATILITY: EVIDENCE FROM INDIA. JCR, 7 (9), 845-850. doi:10.31838/jcr.07.09.158



Turabian Style

P. Raja Babu , Samineni Ravi Kumar, A V Naganjaneyulu. 2020. MODELING ASYMMETRIC VOLATILITY: EVIDENCE FROM INDIA. Journal of Critical Reviews, 7 (9), 845-850. doi:10.31838/jcr.07.09.158



Chicago Style

P. Raja Babu , Samineni Ravi Kumar, A V Naganjaneyulu. "MODELING ASYMMETRIC VOLATILITY: EVIDENCE FROM INDIA." Journal of Critical Reviews 7 (2020), 845-850. doi:10.31838/jcr.07.09.158



MLA (The Modern Language Association) Style

P. Raja Babu , Samineni Ravi Kumar, A V Naganjaneyulu. "MODELING ASYMMETRIC VOLATILITY: EVIDENCE FROM INDIA." Journal of Critical Reviews 7.9 (2020), 845-850. Print. doi:10.31838/jcr.07.09.158



APA (American Psychological Association) Style

P. Raja Babu , Samineni Ravi Kumar, A V Naganjaneyulu (2020) MODELING ASYMMETRIC VOLATILITY: EVIDENCE FROM INDIA. Journal of Critical Reviews, 7 (9), 845-850. doi:10.31838/jcr.07.09.158