HOW VOLATILE IS INDIAN STOCK MARKET? A STUDY BASED ON SELECTED SECTORAL INDICES
Journal Title: International journal of research -GRANTHAALAYAH - Year 2015, Vol 3, Issue 12
Abstract
This paper examines the nature of volatility of selected sectoral stock indices traded in the National Stock Exchange. Using the EGARCH model introduced by Nelson, it has been observed that the selected indices are subject to Autoregressive Conditional Heteroskedasticity (ARCH) effects. There are significant leverage effects in the case of five indices. Volatility seems to be highly persistent in the case of all the indices except one. Moreover, four indices are highly sensitive to market events.
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