Volatility Modeling and its Impact on Risk premium in Emerging markets

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dc.contributor.authorMorawakage, P.S.
dc.date.accessioned2015-07-30T09:37:17Z
dc.date.available2015-07-30T09:37:17Z
dc.date.issued2015
dc.description.abstractThis 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.en_US
dc.identifier.citationMorawakage, 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.en_US
dc.identifier.urihttp://repository.kln.ac.lk/handle/123456789/9067
dc.language.isoenen_US
dc.subjectVolatilityen_US
dc.subjectRisk Premiumen_US
dc.subjectGARCHen_US
dc.subjectEGARCHen_US
dc.subjectTGARCHen_US
dc.subjectGARCH-Men_US
dc.subjectNonlinearen_US
dc.subjectLeverageen_US
dc.titleVolatility Modeling and its Impact on Risk premium in Emerging marketsen_US
dc.typeArticleen_US

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