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Modeling Stock Market Volatility in Emerging Markets: Evidence from India

Sinha, Bhaskar (2007): Modeling Stock Market Volatility in Emerging Markets: Evidence from India.

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Abstract

This study models the volatility present in the inter day returns in the stock of the two major national indices of India. Sensitive Index or Sensex related to Bombay Stock Exchange (BSE) and Nifty associated with National Stock Exchange (NSE). The objective is to model the phenomena of volatility clustering and persistence of shock using asymmetric GARCH family of models. Research showed that EGARCH model successfully models the Sensex (BSE) data whereas it is GJR-GARCH which was able to explain conditional variance in the returns from Nifty (NSE).

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