Assessment of Volatility Spill-over in Non-Banking Financial Companies in India

Authors

  • Sudhir P R   Sudhir P R, Ph.D. Scholar, BITS Pilani.
  • Debasis Patnaik   Associate Professor, KK Birla Goa Campus, Goa.

Abstract

The paper examines the volatility by applying beta and GARCH and volatility spillover by employing Dynamic Conditional correlation. All the NBFCs had a beta greater than one, indicating that the asset class is more volatile and riskier than the benchmark. The GARCH analysis also indicated the presence of short-term volatility and which is able to capture all the information available to traders and investors. The persistence of the long-term volatility parameter indicated the riskiness of the security. DCC- GARCH examined the spillover effect of one NBFC over the other. As both the parameters were insignificant, it suggested that volatility in one security may not be the cause of another security. Moreover, the volatilities were found to be decaying in nature.

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Published

2022-12-01

How to Cite

P R, S., & Patnaik, D. (2022). Assessment of Volatility Spill-over in Non-Banking Financial Companies in India. Journal of Applied Management- Jidnyasa, 14(2), 15–23. Retrieved from https://simsjam.net/index.php/Jidnyasa/article/view/172811

Issue

Volume 14, issue 2, July-December 2022

Section

Articles

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