Asian Journal of Research in Social Sciences and Humanities

  • Year: 2019
  • Volume: 9
  • Issue: 5

Impact and the Relationship between Volatility Index on select Equity Index – An Analysis

*Assistant Professor, GRG School of Management Studies, PSGR Krishnammal College for Women, Coimbatore, India

* pbsaranya@grgsms.ac.in

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Abstract

The study examines the impact and the relationship between volatility indexes and select equity indexes. The daily closing prices of the Volatility Index (VIX), S & P 500, India VIX and NIFTY were considered and their movements has been analysed. Likewise the relationship between the variables VIX and S & P 500 has been compared with the relationship between India VIX and Nifty. The empirical results in the study reveals that an asymmetric relationship between the variables. ARCH and GARCH modes were also used to understand the impact of the select volatility index on the select equity index.

Keywords

India VIX, VIX, Asymmetry