Analyzing Risk-Return Trade-Offs Using ARCH and GARCH Models of the BRICS Countries
- Title
- Analyzing Risk-Return Trade-Offs Using ARCH and GARCH Models of the BRICS Countries
- Creator
- Shashidhar Yadav J.; Dhaku C.R.; Bhat S.R.; Jagadeesha G.T.; Manjunatha G.; Druvakumar M.
- Description
- This study investigates financial markets in BRICS nations (Brazil, Russia, India, China, and South Africa) from 2003 to 2023. It examines mean returns, volatility, skewness, and kurtosis, assessing normality and data stationarity. ARCH-GARCH models uncover conditional heteroskedasticity and volatility clustering. It also explores mean reversion and momentum effects in the Nifty and MOEX indices. Findings show negative, near-zero mean returns, except for SSEC, which is modestly positive. Serial correlation suggests past values impact current returns. Volatility varies, with MOEX and SSEC having higher levels. ARCH-GARCH models indicate volatility clustering and non-normal return distributions. Mean reversion and momentum effects are identified in Nifty and MOEX, benefiting investors, financial institutions, and policymakers. This research informs investment strategies, risk management, and financial forecasts in BRICS economies, contributing to the understanding of the global financial landscape and potential contagion effects. The Author(s), under exclusive license to Springer Nature Switzerland AG 2024.
- Source
- Studies in Systems, Decision and Control, Vol-540, pp. 109-119.
- Date
- 2024-01-01
- Publisher
- Springer Science and Business Media Deutschland GmbH
- Subject
- ARCH; BRICS; GARCH; NIFTY; Volatility
- Coverage
- Shashidhar Yadav J., Department of Commerce, MLA Academy of Higher Learning, Karnataka, Bengaluru, India, School of Business and Management, Christ University, Bangalore, India; Dhaku C.R., Department of Commerce, CHRIST (Deemed to be University), Bengaluru, India, School of Commerce, Finance and Accountancy, Christ University, Bangalore, India; Bhat S.R., Department of Commerce, MLA Academy of Higher Learning, Karnataka, Bengaluru, India, School of Commerce and Management, Alliance Ascent College, Bangalore, India; Jagadeesha G.T., Department of Commerce, Seshadripuram College, Karnataka, Tumakuru, India; Manjunatha G., Department of Commerce, St. Claret College, Karnataka, Bengaluru, India; Druvakumar M., Department of Commerce, Kristu Jayanti College, Karnataka, Bengaluru, India
- Rights
- Restricted Access
- Relation
- ISSN: 21984182
- Format
- Online
- Language
- English
- Type
- Book chapter
Collection
Citation
Shashidhar Yadav J.; Dhaku C.R.; Bhat S.R.; Jagadeesha G.T.; Manjunatha G.; Druvakumar M., “Analyzing Risk-Return Trade-Offs Using ARCH and GARCH Models of the BRICS Countries,” CHRIST (Deemed To Be University) Institutional Repository, accessed February 23, 2025, https://archives.christuniversity.in/items/show/18014.