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Title:Volatility spillover in the foreign exchange market: The Indian experience PDF Logo
Authors:Ghosh, Saurabh
Issue Date:2012
Series/Report no.:Kiel advanced studies Working Papers 460
Abstract:We find evidences of significant volatility co-movements and/ or spillover from different financial markets to forex market for Indian economy. Among a large number of variables examined, volatility spillovers from stock market, government securities market, overnight index swap, Ted spread and international crude oil prices to the foreign exchange market are found to be most important. Empirical findings also indicate that the volatility spillover differed across variables in terms of their influence through shocks and in terms of lagged volatility (persistence) coefficients. There are evidences of asymmetric reactions in the forex market volatility. Comparisons between pre-crisis and post-crisis periods indicate that the reform measures and changes in financial markets microstructure during the crisis period had significant impact on volatility spillover. During the post-crisis period, it is the past volatility (persistent or fundamental) changes, rather than the temporary shocks, that had significant spillover effect on forex volatility. There are evidences of decline in asymmetric response in the forex market during the post-crisis period for the Indian economy.
Subjects:emerging financial market
exchange rate
volatility spillover
multivariate GARCH
threshold GARCH
GJR-TGARCH
JEL:G13
F31
C51
Document Type:Working Paper
Appears in Collections:Kiel Advanced Studies Working Papers, IfW
Publikationen von Forscherinnen und Forschern des IfW

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