Published Paper Details:

This study aims to evaluate the characteristics of conditional volatility of the Indian stock market and compare the nature of volatility between the boom-and-bust phase of the Indian Financial cycle. The asymmetric volatility modelling is conducted using Exponential GARCH (EGARCH), Asymmetric power GARCH (APARCH) and GJR-GARCH on S&P Nifty 50 during July 2001 to June 2017 to arrest the nature of Indian financial cycle. We perform Value at Risk back-testing for adequacy of model fitness and compare half-life estimation for understanding the nature of persistence. Our study identifies APARCH (1,1) to be the best model for explaining boom phase volatility and EGARCH (1,1) as the best model for bust phase. The study also reveals the existence of inverse leverage effect in the boom-and-bust phase of the financial cycle. Our study originally contributes by comparing and documenting the empirical performance of GARCH processes during the boom-and-bust phase of Indian Financial Cycle. These empirical results would be beneficial for better risk management, portfolio optimisation and asset pricing.