Shaikh, Imlak; Padhi, Puja - In: Journal of Economic Studies 43 (2016) 1, pp. 27-47
volatility index (India VIX) and Equity Index (S & P CNX Nifty Index). In addition, the study also analyzes the seasonality of … a strong persistence of asymmetry among the India VIX and Nifty stock index, at the same time the magnitude of asymmetry … is not identical. The results show that the changes in India VIX occur bigger for the negative return shocks than the …