Volatility Dynamics in Indian Stock Markets: Evidence from the Post-2015 Era

This paper examines the structural changes that the Indian equity market has experienced between 2015 and 2025 under the influence of major macroeconomic and geopolitical shocks—including the November 2016 demonetisation, the IL&FS liquidity crisis of 2018, the COVID-19 pandemic of 2020–2021, the Russo–Ukrainian conflict of 2022, and the synchronised global monetary tightening of 2022–2024. The primary objective is to test whether the volatility-modelling architecture proposed by a 2017 benchmark study for the 1992–2016 period continues to hold under the structurally different post-2015 regime, and to identify how persistence, asymmetry, and ARCH-order properties have evolved across the BSE Sensex, NSE CNX Nifty, and twenty-seven sectoral indices. A unified GARCH-family framework comprising GARCH(1,1), GJR-GARCH(1,1), and GARCH(2,1) is estimated on daily log-returns over an eleven-year sample of approximately 2750 observations per index. The empirical evidence confirms that volatility clustering and persistence are pervasive in the post-2015 decade, with the persistence measure (α1 + β1) rising relative to the initial 2017 study for most indices. Asymmetric volatility has intensified—negative shocks generate disproportionately larger volatility responses than positive shocks, particularly in the banking, FMCG, and energy sectors. A higher-order GARCH(2,1) specification is the preferred model for four indices in which lag-2 ARCH effects remain significant or in which integrated-GARCH behaviour rules out the standard GARCH(1,1). The findings have direct implications for portfolio risk management, option pricing, and the design of prudential policy in an increasingly retail-driven and derivative-intensive market ecosystem.