Journal of Energy Markets
ISSN:
1756-3615 (online)
Editor-in-chief: Kostas Andriosopoulos
Sunny days and market swings: risk assessment in the Indian green venture landscape
Mukul Bhatnagar, Sanjay Taneja, Zelhuda Shamsuddin and Amar Johri
Need to know
- Market shocks significantly increase volatility in the Indian green investment sector, confirming a strong and statistically significant size effect.
- Negative news tends to amplify volatility more than positive news, but this sign effect is statistically insignificant, suggesting limited reliability of asymmetric response.
- Volatility is highly persistent: once the green market becomes volatile, it tends to remain volatile for a prolonged period, highlighting long-term risk exposure for investors.
- Effective diversification, continuous monitoring, and strong risk-management strategies are essential for investors participating in India’s green venture ecosystem.
Abstract
Indian renewable energy markets have great potential but are also prone to unpredictable market fluctuations that must be carefully navigated.We explore the intricacies of risk assessment in the ever-changing world of renewable energy businesses by applying the exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model to evaluate the consequence of shocks (news) on the volatility of the Indian renewable energy market. First, the autoregressive–moving-average model was applied, based on the unit root test results. Next, a heteroscedasticity test was applied, followed by the EGARCH model. Then, beta analysis was conducted to measure size, sign and GARCH effects. Statistically significant size and GARCH effects were recorded in the final results, and a statistically insignificant negative sign effect was observed in the EGARCH model.
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