Volume : II, Issue : II, February - 2013

Empirical Analysis of Stock Return Volatility by Using Arch–Garch Models: The Case of Indian Stock Market

Dr. Rakesh Kumar

Abstract :

The Auto Regressive Conditional Heteroskedasicity (ARCH) effect is present in the stock return series during the study period. Therefore, the conditional variance is modeled with the ARCH/GARCH models. Indian stock market is highly volatile and there is existence of high level of persistence of shocks in volatility. Asymmetric volatility effect is present in all the indices under consideration. The study also demonstrates that there are significant leverage effects in the market. The investors in the market are relatively less mature and they are heavily influenced by information (good or bad) very easily. Indian stock market volatility is more sensitive to the bad news as compared to the good news. Besides, EGARCH (1,1) model appears to more appropriately represent the data of stock returns in all the four indices compared to GARCH (1,1) and TARCH (1,1) models

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Article: Download PDF   DOI : 10.36106/ijsr  

Cite This Article:

Dr. Rakesh Kumar Empirical Analysis of Stock Return Volatility by Using Arch-Garch Models: The Case of Indian Stock Market International Journal of Scientific Research, Vol.II, Issue.II February 2013

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