DSpace JSPUI
DSpace preserves and enables easy and open access to all types of digital content including text, images, moving images, mpegs and data sets
Learn More
Please use this identifier to cite or link to this item:
http://repository.kln.ac.lk/handle/123456789/9067| Title: | Volatility Modeling and its Impact on Risk premium in Emerging markets |
| Authors: | Morawakage, P.S. |
| Keywords: | Volatility Risk Premium GARCH EGARCH TGARCH GARCH-M Nonlinear Leverage |
| Issue Date: | 2015 |
| Citation: | Morawakage, P.S., 2015. Volatility Modeling and its Impact on Risk premium in Emerging markets. SECOND INTERNATIONAL CONFERENCE ON ADVANCES IN ECONOMICS, SOCIAL SCIENCE AND HUMAN BEHAVIOUR STUDY - ESSHBS 2015, 28-29 August, 2015. |
| Abstract: | This study examines different volatility models to capture the stock market volatility in two emerging markets Indonesia and Sri Lanka. Further the relationship between volatility and risk premium in both markets are analyzed to test the risk return trade off in those markets. GARCH, EGARCH and TGARCH models are used to capture the volatility and GARCH-M model is used to analyze the risk return relationship. In both markets it is observed that volatility clustering, leverage effect and nonlinear effect are significant by considering daily ASPI return observations from 2004 to 2013. Relationship between volatility and risk premium is not significant according to the GARCH-M model. |
| URI: | http://repository.kln.ac.lk/handle/123456789/9067 |
| Appears in Collections: | Finance |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Volatility Modeling and its Impact on Risk premium in Emerging markets, P.S. Morawakage, Sri Lanka.pdf | 669.02 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.