Volatility and asymmetric analysis of Indian indices during Covid-19 pandemic period

Abstract

Analyzing the volatility and asymmetry in the stock market plays a vital role in financial economics and it is essential to financial intermediaries and also to the various practitioners of stock markets. The uninvited Covid-19 pandemic distresses each and every sector in the world; stock markets are not free from it. In this study, an attempt has been made to study the volatility and asymmetric effects in Indian stock market indices during the Covid-19 pandemic period. Daily data from January 2018 to June 2021 were collected to analyze the volatility and asymmetries. The data is classified as two categories as before pandemic announcement and after pandemic announcement. GARCH, TGARCH and EGARCH models are used to find the volatility and asymmetries during the study period. The GARCH results proves that there exist the stability conditions and the asymmetric GARCH models assure that there exist leverage effects in the index returns for both before pandemic and after pandemic period, and the results also confirms the volatility persistence is very high during after pandemic period as compared to before pandemic period.

Keywords

• asymmetric volatility
• stock market
• covid-19 pandemic
• garch
• tgarch and egarch