affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the … relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the … diagonal BEKK model is used to accommodate multivariate conditional heteroskedasticity in the VAR estimates of ETF returns …

This study empirically examines the nature of volatility in BSE Realty Index using daily closing price of BSE Realty … models, both symmetric and asymmetric, for the analysis. The results show that the volatility is persistent in the Index … return indicating the presence of volatility clustering in the series. Further, the paper reports the presence of asymmetric …