This paper deals with the analysis of the volatility persistence and the leverage effect across six non-ferrous metals spot and futures series in India. Data for aluminium, copper, lead, nickel, zinc and tin were collected from 1 st January, 2009 to 30 th June, 2012. Volatility persistence was determined throughout the ARCH / GARCH class of models. The leverage effect was tested using TARCH and EGARCH models. Out of the twelve non-ferrous metals series including both spot and futures, TGARCH captures asymmetric effects in seven series and EGARCH captures leverage effects in ten series. Other long memory features of the data were also examined. Testing fractional integration our results show that the series are I(1) but the squared returns display long memory features.
This paper models time-varying volatility in one of the Indian main stock markets, namely, the National Stock Exchange (NSE) located in Mumbai, investigating whether it has been affected by the recent global financial crisis. A Chow test indicates the presence of a structural break. Both symmetric and asymmetric GARCH models suggest that the volatility of NSE returns is persistent and asymmetric and has increased as a result of the crisis. The model under the Generalized Error Distribution appears to be the most suitable one. However, its out-of-sample forecasting performance is relatively poor.
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