Modeling S&P Bombay Stock Exchange BANKEX Index Volatility Patterns Using GARCH Model

The main objective of this article is to model the volatility patterns of the S&P Bombay Stock Exchange (BSE) BANKEX index which is the indian banking sector index. Currently, the Indian banking sector is one of fastest growing sector and all major banks have been included in S&P BANKEX inde...

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Bibliographic Details
Published in:Procedia economics and finance 2015, Vol.32, p.520-525
Main Authors: Birău, Ramona, Trivedi, Jatin, Antonescu, Mihail
Format: Article
Language:English
Subjects:
emerging markets
GARCH models
global financial crisis
indian banking sector
international portofolio diversification
volatility clustering
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Summary:The main objective of this article is to model the volatility patterns of the S&P Bombay Stock Exchange (BSE) BANKEX index which is the indian banking sector index. Currently, the Indian banking sector is one of fastest growing sector and all major banks have been included in S&P BANKEX index. The financial econometric approach includes GARCH (1, 1) model which is performed in order to capture asymmetric volatility clustering and leptokurtosis. Data time lag is considered from the first transaction day of January 2002 to last transaction day of June 2014. Empirical outcomes suggest that volatility shocks in series and volatility clusters. The volatility impact has generated highly positive clockwise and resulted on actual stocks. Moreover, the empirical findings reveal that the BANKEX index grown over 17 times in 12 years and volatility returns have been found present in listed stocks.
ISSN:2212-5671
2212-5671
DOI:10.1016/S2212-5671(15)01427-6