Derivative trading and structural breaks in volatility in India: an ICSS approach
Volume: 17, Issue: 2, Pages: 334 - 352
Published: Jul 2, 2020
Abstract
Researchers argue that ignoring the structural breaks in the time-series variance can cause significant upward biases in the degree of persistence in estimated GARCH models. Against this backdrop, the present study empirically examines the effect of stock futures on the underlying stock’s volatility in India by incorporating the structural breaks with the help of ICSS test and AR (1)-GARCH (1, 1) model for 30 most liquid and actively traded...
Paper Details
Title
Derivative trading and structural breaks in volatility in India: an ICSS approach
Published Date
Jul 2, 2020
Volume
17
Issue
2
Pages
334 - 352
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