Title: Modelling stock market volatility using asymmetric GARCH models: evidence from BRICS stock markets

Authors: Ayesha Siddiqui; Mohd Shamim

Addresses: Department of Commerce, Aligarh Muslim University, India; Universal Business School, Karjat, Maharashtra, India ' Department of Insurance and Risk Management, College of Business Administration, University of Business and Technology, Jedda, Saudi Arabia

Abstract: This study aims to examine the evidence of the behaviour of asymmetric volatility in the BRICS stock markets, and the analysis is based on daily data from January 2004 to December 2018. Two models from the generalised autoregressive conditional heteroskedasticity (GARCH) family have been used to capture the leverage effect. Results based on both models provide strong evidence of presence of asymmetric volatility in the BRICS stock market. The results also reveal that there is evidence of the presence of strong volatility persistence in case of BRICS countries except in case of China. The study argues that higher volatility corresponds to a higher probability of a declining market, while lower volatility corresponds to a higher probability of a rising market. Investors can use this data on long-term stock market volatility to align their portfolios with the associated expected returns.

Keywords: BRICS; EGARCH; GJR-GARCH; leverage effect; asymmetric volatility.

DOI: 10.1504/GBER.2024.135300

Global Business and Economics Review, 2024 Vol.30 No.1, pp.107 - 127

Received: 14 Mar 2022
Accepted: 15 Aug 2022
Published online: 04 Dec 2023 *

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