Dynamics of Time Varying Volatility of Indian Stock Market: Evidence from BSE & CNX Nifty

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Published: 2014-01-30
Authors

Prof. Shekhar Mishra

DOI: https://doi.org/10.65301/aimt.2014.3.I.II.695
Keywords:
Volatility, Indian Stock Market, Financial Economics, Investment Risk Management divisions, GARCH,Asymmetry, Leverage effect, EGARCH, TARCH

Issue

Vol. 3 No. I and II (2014): Jan - Dec

Section

Articles
Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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Abstract

Volatility measures the variability and ascertains the unpredictable and uncertain behavior of asset price. As a concept and phenomenon it has remained central area of research in modern financial markets and academics. The importance of volatility in stock market can’t be undermined in financial economics, as it plays a significant role in investment and risk management decisions. This paper attempts to examine the dynamics of time varying volatility of Indian stock market with reference to BSE and S&P CNX Nifty. Using daily observation data been taken for period of 2000-2014. To examine the characteristics of Indian Stock Market Volatility GARCH models are being employed. EGARCH and TARCH are employed to look possibility of Asymmetry or Leverage effects in the market.

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