The present study investigates the role of information in price discovery function and volatility spillover in Nifty and S&P CNX Nifty futures by employing two-step TGARCH procedures. First, the study examines short and long-run relationship between S&P CNX Nifty index and Nifty index futures in...

This paper examines the volatility pattern in Indian stock markets during the time period January 1, 2011 to March 31, 2014 using the daily closing prices of two stock indices, S&P BSE Sensex and CNX Nifty. This paper uses asymmetric GARCH models like Exponential GARCH (EGARCH) and Threshold...

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...

In the literature on global market integration, the strength of interdependence has been measured in different ways. However, only an accurate measure of strength of interdependence helps in understanding the nature of integration among markets. This article, by employing novel time-frequency...