Finding the Persistence of Stock Volatility on the NSE, Nifty Indices

30 Pages Posted: 18 Sep 2020

Date Written: August 6, 2020

Abstract

This study is conducted to find if there is an existence of volatility persisting in any of the market capitalization indices from NSE NIFTY 500 for the sample period starting from April 2007 to December 2019. The following ARCH family models are tested to find the best model fit and use the most parsimonious model; Bollerslev and Taylor (1986) GARCH, Nelson's (1991) EGARCH and TGARCH. It is found that Smallcap and Midcap stock index is showing persistence in stock volatility with bad news having larger effects on its past residuals. Largecap stock index due to its model that is GARCH, can only find existence of volatility clustering instead it is found that there is evidence of the past errors not affecting the Largecap index. From the result analysis, it can be concluded that there is existence of persistence of volatility and that there is volatility clustering reflected in the present prices of the indices under study.

Keywords: EGARCH; GARCH; TGARCH

JEL Classification: G11, G12, G19

Suggested Citation

paldon, trinley, Finding the Persistence of Stock Volatility on the NSE, Nifty Indices (August 6, 2020). Available at SSRN: https://ssrn.com/abstract=3668093 or http://dx.doi.org/10.2139/ssrn.3668093

Trinley Paldon (Contact Author)

XIME ( email )

Electronics City Phase II
Hosur Road
Bangalore, 560100
India
9805616731 (Phone)

HOME PAGE: http://https://xime.org/faculty/Paldon

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
11
Abstract Views
129
PlumX Metrics