Modelling Stock Market Volatility in India Using Univariate GARCH Models

  • Pramath Nath ACHARYA P G Department of Commerce Berhampur University, Berhampur, Odisha, India
  • Srinivasan KALIYAPERUMAL Business Studies Department Higher College of Technology, Muscat, Sultanate of Oman
  • Rudra Prasanna MAHAPATRA P G Department of Commerce Berhampur University, Berhampur, Odisha, India

Abstract

This study examines the volatility pattern of Indian stock market based on the daily price data of National Stock Exchange and Bombay Stock Exchange over the period 1996-2017. The analysis is carried out by using various GARCH models to capture symmetric as well as asymmetric effects. The study suggests the presence of asymmetry and PGARCH model as the best fit model among all the selected models.

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Published
2019-08-08
How to Cite
ACHARYA, Pramath Nath; KALIYAPERUMAL, Srinivasan; MAHAPATRA, Rudra Prasanna. Modelling Stock Market Volatility in India Using Univariate GARCH Models. Journal of Advanced Studies in Finance, [S.l.], v. 10, n. 1, p. 56-66, aug. 2019. ISSN 2068-8393. Available at: <https://journals.aserspublishing.eu/jasf/article/view/3788>. Date accessed: 23 jan. 2022. doi: https://doi.org/10.14505//jasf.v10.1(19).06.
Section
Journal of Advanced Studies in Finance