publication . Article . Preprint . 2008

Volatility Modeling, Seasonality and Risk-Return Relationship in GARCH-in-Mean Framework: The Case of Indian Stock and Commodity Markets

Priyanka Singh; Brajesh Kumar;
Open Access
  • Published: 04 Apr 2008 Journal: SSRN Electronic Journal (eissn: 1556-5068, Copyright policy)
  • Publisher: Elsevier BV
Abstract
This paper is based on an empirical study of volatility, risk premium and seasonality in risk-return relation of the Indian stock and commodity markets. This investigation is conducted by means of the General Autoregressive Conditional Heteroscedasticity in the mean model (GARCH-in-Mean) introduced by Engle et al. (1987). A systematic approach to model volatility in returns is presented. Volatility clustering and asymmetric nature is examined for Indian stock and commodity markets. The risk-return relationship and seasonality in risk-return are also investigated through GARCH-in-Mean modeling in which seasonal dummies are used for return as well as volatility eq...
Subjects
free text keywords: Risk–return spectrum, Heteroscedasticity, Autoregressive conditional heteroskedasticity, Stock market index, Volatility clustering, Financial economics, Forward volatility, Economics, Volatility (finance), Risk premium
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