Study on Modelling Asymmetry and Persistence Under the Impact of Sudden Changes in the Volatility of the Indian Stock Market

The dynamics of persistence and asymmetry in the Indian stock market during abrupt fluctuations in volatility are examined in this study. It is well known that there are times when the volatility of financial markets exhibits rapid fluctuations, which affects how asset returns behave. This study focuses on modeling persistence, which indicates the length of time that effects persist after volatility changes, and asymmetry, which is defined as the different magnitudes of market responses to positive and negative shocks. This paper analyzes high-frequency data from the Indian stock market using sophisticated econometric approaches, including asymmetric models like GARCH (Generalized Autoregressive Conditional Heteroscedasticity) and EGARCH (Exponential GARCH). Through capturing the effects of abrupt volatility shifts on persistence and asymmetry, the research attempts to offer insights into market dynamics that are essential for investment strategies and risk management.