Volatility and Spillovers With Special Reference to the NSE (National Stock Exchange) Indices

Abstract

The characteristics of understanding the asset’s behavior is examined in terms of influence of its past information or shock on its return behavior on the different broad market indices from NSE (National Stock Exchange). The GARCH family models were used to find best model fit based on the Akaike Info Criteria and Schwarz Info Criteria. From the empirical results, it is found that all the characteristics in regard to the spillover, persistence of volatility and leverage effect are persuading the variance on the selected index spot return during the selected sample periods.