000			02063nam a22002657a 4500
003			ZW-GwMSU
005			20240308100553.0
008			240308b |||||||| |||| 00| 0 eng d
022			_a0972-1509
040			_aMSU _bEnglish _cMSU _erda
050			_aHC59.15 GLO
100	1		_aKumar, Rakesh _eauthor
245	1	0	_aEmperical analysis of conditional heteroskedasticity in times of stock returns and asymmetric volatility _cby Rakesh Kumar and Raj S. Dhankar
264			_aNew Delhi : _bSage ; _c©2010.
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
440			_vVolume 11 number 1
520			_aThis article investigates the presence of conditional heteroskedasticity in time series of US stock market returns, and the asymmetric effect of good and bad news on volatility. Further, the study also analyzes the relationship between stock returns and conditional volatility, and standard residuals. The daily opening and closing prices of S&P 500 and NASDAQ 100 are used for the period January 1990 to December 2007. The study applies GARCH (1, 1) and T-GARCH (1, 1) to examine the heteroskedasticity and the asymmetric nature of stock returns respectively. The results of the study suggest the presence of the heteroskedasticity effect and the asymmetric nature of stock returns. Further, analyzing the relationship, the study reports a negative significant relationship between stock returns and conditional volatility. However, the relationship between stock returns and standardized residuals is found to be significant. This study provides a robustness test of the conditional volatility and asymmetric impact of good and bad news. These findings bring out that investors adjust their investment decisions with regard to expected volatility, however, they expect extra risk premium for unexpected volatility.
650			_aConditional heteroskedasticity
650			_avolatility
700	1		_aDhankar, Raj S. _eco-author
856			_u10.1177/097215090901100102
942			_2lcc _cJA
999			_c164229 _d164229