Open AccessVolatility in stock market: evidence from india
Author(s) -
Shunmuga Rajan N,
N Rajasekar
Publication year - 2013
Publication title -
journal of management and science
Language(s) - English
Resource type - Journals
eISSN - 2250-1819
pISSN - 2249-1260
DOI - 10.26524/jms.2013.59
Subject(s) - volatility (finance) , autoregressive conditional heteroskedasticity , stock market , econometrics , economics , volatility risk premium , financial economics , volatility swap , forward volatility , implied volatility , business , geography , context (archaeology) , archaeology
Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. Volatility is a statistical measure of the dispersion of returns for a given security or market Index. The main objective of the study is to analyze the volatility of Indian stock market. We have taken five oil sector companies from BSE for this study. The sample companies are Bharath Petroleum, Hindustan Petroleum, Indian Oil, ONGC and Reliance Industries. The Study was conducted from January 2007 to December 2012 and we employed Descriptive Model and Unit Root Test and GARCH Model for making the research more effective and we found that there is high volatility during the study period.