The present study investigates the role of information in price discovery function and volatility spillover in Nifty … next period. The results of TGARCH model reveal a bidirectional volatility spillover between spot and near, middle and far …

An attempt is made here to investigate the relationship between stock market volatility and trading activity (trading … spot market volatility. The results show that the spot market volatility bears a positive relationship with unexpected …

Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or … log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The … present paper examines the issue of long memory in volatility in the context of Indian stock market using the fractionally …

This paper examines the volatility pattern in Indian stock markets during the time period January 1, 2011 to March 31 … models like Exponential GARCH (EGARCH) and Threshold GARCH (TGARCH to explain the volatility. Considering the minimum values … model for return volatility over EGARCH. The findings suggest that there is no volatility persistence as well as leverage …