In this paper we model the volatility patterns of the BSE Bankex index based on daily data using both symmetric and asymmetric GARCH models. Our findings reveal asymmetric GARCH models having leverage property uncover uneven market reactions to positive and negative innovations thus rendering...

While there are many evidences of nonlinearity in developed markets, there has not been many works in this direction in Indian financial markets. In this study we wish to bridge this gap by testing for nonlinearity in the Indian stock and commodity market. We consider the index movements in...