Ghosh, Saurabh; Bhattacharyya, Indranil - In: Macroeconomics and Finance in Emerging Market Economies 2 (2009) 2, pp. 257-277
This study uses a GARCH model to estimate conditional volatility in the Indian overnight money market during the period 1999-2006. It finds that the bid-ask spread in the overnight market was positively related to conditional volatility during 1999-2002. This relationship, however, has undergone...