The study explores the asymmetric nature of volatality in the Indian stock market by considering four market indices, viz. Sensitive index, BSE 100, S&P CNX 500 and S&P CNX Nifty for the period during April 1, 1995 through December 31, 2007. An attempt is made to make a comparison of asymmetric class of volatliity model vis-ă-vis symmetric GARCH model and concludes tliat Exponential GARCH (EGARCH) is empirically proved as the suitable model to explain asymmetric behaviour of these indices. The study also traces the news impact curves (NIC) for these indices to decipher the nature of asymmetric volatility.
Asymmetric Volatility, Indian Equity Market, GARCH Model
