A Study on The Volatility Transmission and Spill Over Among Selected SAARC Stock Market

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B. Ramya, Dr. M. Sumathy


This research is aimed at how GARCH-type models could be used to estimate the volatility of stock market performance in six SAARC emerging markets. For the period of 01.04.2010 to 31.03.2020, we used daily data from AFX (Afghanistan stock market), BSE (Bombay Stock Exchange), DSE (Dhaka Stock Exchange), NSE (National Stock Exchange), KSE (Karachi Stock Exchange), and CSE (Colombo Stock Exchange). The GARCH influence is substantial. We conclude that volatility shocks are fairly persistent among selected SAARC stock markets, and that old news has a noteworthy impact on volatility. Future study should look into how multivariate time series replicas function when used with daily returns from international emerging markets.

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