Abstract
In this work, we have examined the volatility and disproportionate influence in foreign exchange markets of India and China, using daily data for the period 10 January 2006 to 23 October 2015. Generalised autoregressive conditional heteroscedasticity (GARCH) models are used to examine the volatility spillover between two markets. Exponential GARCH (EGARCH) model was utilised to catch the effect of good and bad news. Study revealed the bidirectional volatility and disproportionate influence among these markets during the period under observation. This examination would be useful to speculators and policymakers of the money-related markets to support hazard in current situation.
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