Measuring stock market volatility - a study in India's perspective

Jitendra Kumar Dixit, Vivek Agrawal and Sucheta Agarwal

International Journal of Economic Policy in Emerging Economies, 2022, vol. 16, issue 1, 1-13

Abstract: Volatility is an inherent characteristic of stock market. The presence of volatility provides an opportunity to earn unexpected profits by risk seeker investors and becomes a matter of diffidence among risk averse as high risk is anticipated with high return during the period of high volatility. Informed investors consider market volatility while making investment decision. Volatility is reflected due to uncertainty in stock return, price and unexpected events that can be measure through the GARCH family models. Analysis is performed on daily closing value of NSE and BSE from 1 April 2011 to 31 March 2019, extracted through the online-portal of BSE (bseindia.com) and NSE (nseindia.com) for the purpose of the present analysis. The output of the current study confers the acceptance of E-GARCH model for the purpose of predicting and forecasting the market volatility.

Keywords: volatility; variance; GARCH; P-GARCH. (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijepee:v:16:y:2022:i:1:p:1-13

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