Estimating Long-term Volatility on National Stock Exchange of India

AbstractThis paper aims to investigate long-term volatility of National Stock Exchange of India based on Generalize Autoregressive Conditional Heteroskedasticity (GARCH) models. The CNX-100 index is one of diversified Indian stock index which includes 38 sectors of economy. It represents about 81.57% of free float market capitalization of stocks which listed on NSE (National Stock Exchange, India) from ending March, 2014. This paper empirically tests volatility clusters of CNX 100 index using data set from 10.2007 to 07.2014. The empirical analysis is based on stock market returns - daily observations (1698) and provides additional insight regarding volatility patterns. The final results (outcomes) suggested the existence of abnormal minor and major shocks, strong volatility and bullish growth ranges after 2013. CNX - 100 stock market index behavior is found to be more volatile clockwise after 2013, so that market clusters and the influence from different sectors (i.e 38 sectors of economy) creates great opportunity for investors, financial practitioners and academics