Abstract
Abstract This study looks into the nexus between energy index, utility prices, and exchange rate for India, considering weekly data from June, 2008 to May, 2014. Generalized autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) models have been applied to scrutinize the effect of utility price and exchange rate behaviors on the energy index. The study discloses that rise in the global oil price, traded energy price and depreciation of exchange rate in turn leads to reduction of returns on energy index. It also tells that the impacts of positive and negative shocks on utility price and exchange rate volatility have symmetric consequences, and utility price and exchange rate fluctuations have enduring effect on energy index volatility.
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