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The paper investigate the volatility spillover of Exchange rate and Nifty index returns to the selected stocks of Indian textile sector. Understanding the volatility spillover is very important in determining the portfolio risk and for policy making. The data for the period spanning from 01-04-2013 to 31-03-2023 of USD/INR exchange rate, NSE Nifty and selected five stocks of Textile Sector namely PAGE Industries Ltd., KPR Mills Ltd., Trident Ltd., Raymond Ltd. and Welspun Ltd. were used for the study. By applying the Multivariate BEKK GARCH model, the study analyzed the variance and covariance fluctuations of volatility returns concerning exchange rates. Nifty and stock returns using Multivariate BEKK-GARCH model. A bi-directional spillover has been found between exchange rates and Stock returns. The study also provides the proof of existence of positive conditional correlations among the variables.

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Volatility Spillover Effects Between Indian Textile Companies and Exchange Rate: A BEKK-GARCH Analysis

  • 章节

  • 发表日期：

    2025年

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  • P. Ananth Alias Rohith Bhat,
  • B. Shakila,
  • Prakash Pinto,
  • Iqbal Thonse Hawaldar

摘要

The paper investigate the volatility spillover of Exchange rate and Nifty index returns to the selected stocks of Indian textile sector. Understanding the volatility spillover is very important in determining the portfolio risk and for policy making. The data for the period spanning from 01-04-2013 to 31-03-2023 of USD/INR exchange rate, NSE Nifty and selected five stocks of Textile Sector namely PAGE Industries Ltd., KPR Mills Ltd., Trident Ltd., Raymond Ltd. and Welspun Ltd. were used for the study. By applying the Multivariate BEKK GARCH model, the study analyzed the variance and covariance fluctuations of volatility returns concerning exchange rates. Nifty and stock returns using Multivariate BEKK-GARCH model. A bi-directional spillover has been found between exchange rates and Stock returns. The study also provides the proof of existence of positive conditional correlations among the variables.