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Volatility spillovers between foreign exchange markets of India and China/ created by Surender Kumar, Puneet Dublish, Moon Moon Haque

By: Contributor(s): Material type: TextTextSeries: Asia-Pacific journal of management research and innovation ; Volume 12, number 2Los Angeles: Sage, 2016Content type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISSN:
  • 2319510X
Subject(s): LOC classification:
  • HD30.4 ASI
Online resources: Abstract: In this work, we have examined the volatility and disproportionate influence in foreign exchange markets of India and China, using daily data for the period 10 January 2006 to 23 October 2015. Generalised autoregressive conditional heteroscedasticity (GARCH) models are used to examine the volatility spillover between two markets. Exponential GARCH (EGARCH) model was utilised to catch the effect of good and bad news. Study revealed the bidirectional volatility and disproportionate influence among these markets during the period under observation. This examination would be useful to speculators and policymakers of the money-related markets to support hazard in current situation.
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Holdings
Item type Current library Call number Vol info Copy number Status Notes Date due Barcode
Journal Article Journal Article Main Library - Special Collections HD30.4 ASI (Browse shelf(Opens below)) Vol. 12, no.2 (pages 134-144) SP28045 Not for loan For in house use only

In this work, we have examined the volatility and disproportionate influence in foreign exchange markets of India and China, using daily data for the period 10 January 2006 to 23 October 2015. Generalised autoregressive conditional heteroscedasticity (GARCH) models are used to examine the volatility spillover between two markets. Exponential GARCH (EGARCH) model was utilised to catch the effect of good and bad news. Study revealed the bidirectional volatility and disproportionate influence among these markets during the period under observation. This examination would be useful to speculators and policymakers of the money-related markets to support hazard in current situation.

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