The study investigates return and volatility spillover effects between large and small stocks in the national stock exchange in India using daily index data on S&P CNX Nifty, CNX Nifty Junior and CNX Midcap. The VAR model together with the variance decomposition (VDC) and the impulse response...

The study investigates the relative performance of Value-at-Risk (VaR) models using daily share price index data from six different countries across Asia, Europe and the United States for a period of 10years from January 01, 2000 to December 31, 2009. The main emphasis of the study has been...

This article investigates the heteroscedastic behaviour of the Indian stock market using different GARCH models. First, the standard GARCH approach is used to investigate whether stock return volatility changes over time and if so, whether it is predictable. Then, the EGARCH models are applied...