The leverage effect or asymmetric effect is defined as the unequal influence of negative shock on volatility in … comparison with positive shock. The negative shocks or the bad news seems to have larger influence on next period volatility. The … objective of this study is to test the presence of volatility clustering and long-term memory features in Indian capital market …

contrast to the general expectation. The diagnostic tests after conditional volatility estimation confirms the efficiency of …This study was aimed at estimating the conditional variance of stock price returns in India using PGARCH model. Ten … 2016 was collected from Prowess database. Auto-regressive and volatility clustering features were found in the estimated …