Title: Volatility in Indian Stock Market: A study to assess volatility, persistence and GARCH effects.
Abstract: This paper examines stock market volatility in India choosing S&P BSE Sensex as the market. Daily closing prices of S&P Sensex for 3740 days over the period 2000-14 were used in the study. The study finds that using absolute change in the Sensex or stock price to measure volatility is deceptive. Only large percentage change in price need be taken as the stock volatility. Though standard deviation is generally used as a measure of volatility,it fails in circumstances of time-varying scedasticity. Time-adjusted standard deviation as a measure of volatility resembles with the standard deviation without time-adjustment. Both measures indicates only a moderate volatility in India lower than the volatility prevailed upon during the Great Depression of 1929 and the Great market Crash of 1987. The study found a strong relationship between volatility and summed daily returns. The empirical analysis also results in the finding of evidences of volatility clustering and moderate volatility persistence when GARCH (1,1) Model is applied.
Publication Year: 2015
Publication Date: 2015-01-01
Language: en
Type: article
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