Volatility transmission and hedging effectiveness in Indian currency market

dc.contributor.author	Jambotkar, M.
dc.contributor.author	Velip, S.P.
dc.contributor.author	AnjanaRaju, G.
dc.date.accessioned	2020-11-18T05:11:22Z
dc.date.available	2020-11-18T05:11:22Z
dc.date.issued	2020
dc.identifier.citation	Journal of Advanced Research in Dynamical and Control Systems (JARDCS). 12(7); 2020; 2431-2441.	en_US
dc.identifier.uri	http://doi.org/10.5373/JARDCS/V12SP7/20202373
dc.identifier.uri	http://irgu.unigoa.ac.in/drs/handle/unigoa/6284
dc.description.abstract	The study attempts is to provide an insight on volatility traverse and hedging effectiveness of four currency pairs traded at the Indian National Stock Exchange through an application of the asymmetric GARCHBEKK framework and constant/time-varying hedging models. The sample period from February 2010 to October 2019 has been used in the study. The results show significant bidirectional shock and volatility transmission among spot and futures currency market. The magnitude of hedging effectiveness from the dynamic time-varying model is significantly higher than the constant hedging models. Across four currency pairs, USD/INR highlighted higher performance in the reduction of variances against the un-hedged position.	en_US
dc.publisher	Institute of Advanced Scientific Research	en_US
dc.subject	Commerce	en_US
dc.title	Volatility transmission and hedging effectiveness in Indian currency market	en_US
dc.type	Journal article	en_US