{"title":"Volatility and Spill Over: Empirical research on USD-INR Exchange Rate and Sensex","authors":"Shubhra Johri Et al.","doi":"10.52783/jier.v3i2.146","DOIUrl":null,"url":null,"abstract":"The present research is based on measuring volatility between dollar rupee exchange rate and BSE Sensex. The data collection is carried out during April 2001 to March 2022 and exploratory design of research is applied for the study. Descriptive statistical analysis is applied to process gathered data including GARCH (1,1) correlation and regression analysis. We found the presence of return and volatility spillover effects between INR-USD exchange rate and the BSE Sensex. The results of this study imply that the INR-USD exchange rate and the BSE Sensex are interdependent, and changes in one can have an impact on the other.","PeriodicalId":201034,"journal":{"name":"Journal of Informatics Education and Research","volume":"57 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Informatics Education and Research","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.52783/jier.v3i2.146","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
The present research is based on measuring volatility between dollar rupee exchange rate and BSE Sensex. The data collection is carried out during April 2001 to March 2022 and exploratory design of research is applied for the study. Descriptive statistical analysis is applied to process gathered data including GARCH (1,1) correlation and regression analysis. We found the presence of return and volatility spillover effects between INR-USD exchange rate and the BSE Sensex. The results of this study imply that the INR-USD exchange rate and the BSE Sensex are interdependent, and changes in one can have an impact on the other.
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