 Capturing the stock market volatility: a study of sectoral indices in India using symmetric GARCH modelsAastha Khera, Anisha Goyal and Miklesh Prasad Yadav International Journal of Management Practice, 2022, vol. 15, issue 6, 820-833 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. Keywords: investors; volatility; autoregressive conditional heteroscedastic; ARCH; generalised autoregressive conditional heteroscedastic; GARCH; risk premium; conditional models; India. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmpra:v:15:y:2022:i:6:p:820-833 Access Statistics for this article More articles in International Journal of Management Practice from Inderscience Enterprises Ltd |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.