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Capturing the stock market volatility: a study of sectoral indices in India using symmetric GARCH models

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  • Aastha Khera
  • Anisha Goyal
  • Miklesh Prasad Yadav

Abstract

Investors are not only concerned about the returns but they also equally bother about the risk. In this paper, GARCH (1, 1) and GARCH-in-mean models have been used for predicting the volatility of various sectoral indexes. Daily closing prices of 11 indexes for the last six years are considered for the study. The period of six years ranging from 1 January 2014 to 31 December 2019 is being enveloped for this study. It is found that five indexes showed the presence of the ARCH effect. Then symmetric GARCH models are applied on these five indexes namely Nifty Auto, Nifty It, Nifty Metal, Nifty Media, and Nifty Realty. Coefficients of ARCH and GARCH came out to be significant after applying the GARCH (1, 1) model. The overall persistency of shock is largest in Nifty Media stock return and lowest in case of Nifty Realty stock returns as their parameters sum is highest and lowest respectively.

Suggested Citation

  • Aastha Khera & Anisha Goyal & Miklesh Prasad Yadav, 2022. "Capturing the stock market volatility: a study of sectoral indices in India using symmetric GARCH models," International Journal of Management Practice, Inderscience Enterprises Ltd, vol. 15(6), pages 820-833.
    • Handle: RePEc:ids:ijmpra:v:15:y:2022:i:6:p:820-833
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    Cited by:

    1. Yadav, Miklesh Prasad & Sharif, Taimur & Ashok, Shruti & Dhingra, Deepika & Abedin, Mohammad Zoynul, 2023. "Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets," Research in International Business and Finance, Elsevier, vol. 65(C).

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