MERI-Journal of Management & IT

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Volatility of Indian Stock Market-A Study of BSE Sensex


Affiliations
1 Punjabi University, Patiala, India
     

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BSE Sensex is India’s benchmark index for Indian equity market. The present study attempts to analyse whether the Past Sensex returns has an explanatory power for today’s Sensex returns. Daily data of BSE closing prices from April 2000 to March 2015 has been used for the study. BSE Sensex returns have been estimated as the first difference of the log of the daily closing prices. GARCH (1, 1) has been developed to model the volatility of BSE Sensex returns. The results revealed that Past Sensex returns have GARCH effect in the today’s Sensex returns.

Keywords

Heteroscedasticity, ARCH, GARCH, Volatility, BSE Sensex, Stock Market Returns, Lagged Returns.
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  • Volatility of Indian Stock Market-A Study of BSE Sensex

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Authors

Kavita
Punjabi University, Patiala, India

Abstract


BSE Sensex is India’s benchmark index for Indian equity market. The present study attempts to analyse whether the Past Sensex returns has an explanatory power for today’s Sensex returns. Daily data of BSE closing prices from April 2000 to March 2015 has been used for the study. BSE Sensex returns have been estimated as the first difference of the log of the daily closing prices. GARCH (1, 1) has been developed to model the volatility of BSE Sensex returns. The results revealed that Past Sensex returns have GARCH effect in the today’s Sensex returns.

Keywords


Heteroscedasticity, ARCH, GARCH, Volatility, BSE Sensex, Stock Market Returns, Lagged Returns.

References





DOI: https://doi.org/10.25089/MERI%2F2017%2Fv11%2Fi1%2F164013