NARANG, SUNITA; BHALLA, V. K. - In: Annals - Economic and Administrative Series - 5 (2011) 1, pp. 77-98
This paper examines the risk-return relationship in Indian stock market using symmetric and asymmetric GARCH-in-mean (GARCH-M) models. First the standard GARCH-M model is used, next since variance is proxy for risk, we ascertain if there is any significant relation between asymmetric variance...