|Volatility of Indian Stock Market: An Emperical Evidence|
Jaipuria Institute of Management, A/32a, Sector-62, Noida - 201301, U.P., India
E-mail: firstname.lastname@example.org, email@example.com
The purpose of this paper is to apply the GARCH-class models to two major stock exchanges of Indian stock markets. The study includes main indices of Bombay Stock Exchange (SENSEX) and that of National stock exchange (NIFTY). GARCH-class models have been applied to analyze the characteristics of the volatility of Indian stock market. The findings suggest that both the Indian stock exchanges have significant ARCH effects and it is appropriate to use ARCH/GARCH models to estimate the process and also demonstrated that there are leverage effects in the markets. That means the investors in those markets are not grown well and they will be heavily influenced by information (good or bad) very easily.
Keywords: Garch, E-Garch, Tarch, Stock Market Volatility