evidence of positive risk premium coefficient. Among the alternative GARCH models employed, EGARCH(2,1)-M is the best …In this paper we model the volatility patterns of the BSE Bankex index based on daily data using both symmetric and … asymmetric GARCH models. Our findings reveal asymmetric GARCH models having leverage property uncover uneven market reactions to …

size). The Nifty reacts asymmetrically only to large negative shocks. The EGARCH fits midcap index better than GARCH in …This paper studies volatility characteristics of the Indian CNX midcap index and contrasts with the large cap Nifty. An … EGARCH model is fitted to daily returns for 2010 and is subjected to an out-of-sample back test. The study finds differences …