183 KB33 KB200320242015Azhagaiah, RamachandranBanumathy, Karunanithyštevilka:1letnik:13str. 27-42COBISSID_HOST:1537418436ISSN:1854-6935URN:URN:NBN:SI:doc-CD5QA4LXenFaculty of managementManaging global transitionsasimetrična nestanovitnostasymmetric volatilityconditional volatilityGARCH modeliGARCH modelsIndiaIndijaleverage effectpogojna nestanovitnostučinek vzvodaModelling stock market volatility| Evidence from India|This study empirically investigates the volatility pattern of Indian stock market based on time series data which consists of daily closing prices of S&P CNX Nifty Index for ten years period from 1st January 2003 to 31st December 2012. The analysis has been done using both symmetric and asymmetric models of Generalized Autoregressive Conditional Heteroscedastic (GARCH). As per Akaike Information Criterion (AIC) and Schwarz Information Criterion (SIC), the study proves that GARCH (1,1) and TGARCH (1,1) estimations are found to be most appropriate model to capture the symmetric and asymmetric volatility respectively. The study also provides evidence for the existence of a positive and insignificant risk premium as per GARCH-M (1,1) model. The asymmetric effect (leverage) captured by the parameter of EGARCH (1,1) and TGARCH (1,1) models show that negative shocks have significant effect on conditional variance (volatility)Študija empirično preučuje vzorec nestavitnosti indijskega delniškega trga na podlagi analize časovnih vrst o dnevnih končnih cenah indeksa S&P CNX Nifty za obdobje desetih let od 1. januarja 2003 do 31. decembra 2012. Analiza je potekala na podlagi simetričnih in asimetričnih modelov posplošene avtoregresivne pogojne heteroskedastičnosti (GARCH). Študija na podlagi Akaikejevega informacijskega kriterija (AIC) in Schwarzovega informacijskega kriterija (SIC) dokazuje, da so se ocene GARCH (1,1) in TGARCH (1,1) izkazale kot najprimernejši model za zajemanje simetrične in nesimetrične nestanovitnosti v tem zaporedju. Študija podaja tudi dokaze o obstoju pozitivne in zanemarljive premije za tveganje na podlagi modela GARCH-M (1,1). Asimetrični učinek vzvoda, zajet s parametrom modelov EGARCH (1,1) in TGARCH (1,1), kaže na to, da negativni šoki močno vplivajo na pogojno variancoTEXTznanstveno časopisjejournalsSlovenian National E-content AggregatorNational and University Library of SloveniaUniverza na Primorskem, Fakulteta za management