.... GARCH ASYMMETRIC effect Global financial crisis COVID-19 Black swan event Grey rhino event Volatility modeling Understanding volatility dynamics in a world of integrated markets is of crucial importance. External shocks that threaten stock markets pose serious challenges to the growth...

... Licensed re-use rights only India GARCH Risk Co-movement The burgeoning literature on the financial crisis has attracted the interest of worldwide researchers toward spillover effects, financial contagion and interdependency among international stock markets. The level of interaction...

... risk calculated by VaR of the firms is studied. Design/methodology/approach – In this paper, VaR is estimated by fitting empirical distribution of returns, parametric method and by using GARCH(1,1) with Student’s t innovation method. Findings – It is observed that both the stocks...