期刊名称：Researchers World - Journal of Arts Science & Commerce
印刷版ISSN：2229-4686
电子版ISSN：2229-4686
出版年度：2011
卷号：2
期号：3
页码：119-126
出版社：Educational Research Multimedia & Publication
摘要：In recent years, the increasing importance of the futures market in the Indian financial markets has received considerable attention from researchers, academicians and financial analysts. This paper is an attempt to examine the time varying properties of volatility of India's stock index futures market. The application of GARCH class models provides the evidence of the persistence of time varying volatility, and its asymmetric effect. It is also inferred that in India's stock index futures market, bad news increases the volatility substantially. This volatility behavior of Indian capital market may be due to recent global financial meltdown that originated from US sub-prime crisis. Such empirical evidence keeps much relevance to policy makers and regulators of India in devising prudential norms and implementing warranted policy reforms
