The study uses three different models: GARCH(1,1), EGARCH(1,1) and GJR-GARCH(1,1) to analyze volatility of Nifty of National Stock Exchange (NSE) of India from January 1, 2010 to July 4, 2014. The results reveal persistence of volatility andthe presence of leverage effect implying impact of good...

The study investigated the stock market volatility in the emerging stock markets of India and China using daily closing price from 1st January, 2005 to 12th May, 2009. The results detect the presence of non-linearity through BDSL test while conditional Heteroscedasticity is identified through...

: The study investigates volatility in the stock markets of India and Canada using daily closing price data for the period from January 2002 to July 2009. Various volatility and diagnostic tests suggest certain stylized facts about volatility like volatility clustering and mean reverting...