THE NONLINEAR ASYMMETRIC RELATIONSHIP AMONG IMPLIED VOLATILITY INDICES OF INDIAN STOCK MARKET, GOLD, AND OIL: EVIDENCE FROM NARDL MODEL

The paper aims to examine the nonlinear asymmetric relationship among implied volatility indices of Indian stock market, gold, and oil for period from 2nd March 2009 29th October 2021. Nonlinear Autoregressive Distributed Lag (NARDL) model results provide evidence selected variables in short-run long-run. positive negative shocks gold have a significant influence on market. expected has short-term symmetric impact market short run. Whereas, long-run Increasing prices can be viewed as signal starting point markets. In long run, more than negative. This indicates that investors are shifting their investments stocks higher returns when fluctuating.