Volume : VII, Issue : IV, April - 2017

Demonstrating volatility for NIFTY PSU bank sector using asymmetric heteroscedastic model

Jatin Trivedi, Amol Gawande

Abstract :

 The study provides significant evidence for no delay in investment returns based on no leverage effect in the financial series returns of NIFTY PSU bank sector index. Public sector banking in India delivered significant contributions to development of the country. Furthermore, public sector banks also indicated greater returns for investors from past few years for instance, the returns of investments from state bank of India. This study focuses on the aspects of leverage effects in NIFTY PSU bank sector index using exponential generalized autoregressive conditional heteroskedesticity model securing data range from Feuary 2011 to December 2016 considering daily closing index. The result suggests that there is strong evidence of no leverage effect in asset returns of NIFTY PSU bank sector index. 

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Article: Download PDF   DOI : 10.36106/ijar  

Cite This Article:

Jatin Trivedi, Amol Gawande, Demonstrating volatility for NIFTY PSU bank sector using asymmetric heteroscedastic model, INDIAN JOURNAL OF APPLIED RESEARCH : Volume‾7 | Issue‾4 | April-2017

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