Volatility in BRIC Stock Markets

Abstract

The study investigated the stock market volatility in the emerging stock markets of Brazil, Russia, India and China (BRIC) using daily closing price from January 1, 2009 to July 7, 2014. The results detect the presence of non-linearity through BDSL test while conditional Heteroscedasticity is identified through ARCH-LM test. The findings reveal that the GARCH (1,1) model successfully captures nonlinearity and volatility clustering. The analysis suggests that the persistence of volatility in Indian and Chinese stock markets is more than Brazil and Russia.