Application Of Conditional Heteroscadicity Model On SectoralIndex In India With Special Reference To Banking Sector UsingGarch Model

Abstract

The objective of this paper is to investigate the impact of volatility in stock prices of banking sector. The sample data consist of closing prices of Bank Nifty from January 1, 2017 to December 31, 2019. The study uses
EGARCH model tocapture volatility clustering, persistence and leverage effect.The result shows ARCH Effect (C3) is positive i.e. there is a positive relation between the past variance and the current variance in absolute
value,Leverage effect (C4) is negative indicates an asymmetric effect i.e. Bad news will increase volatility more than a good new of the same size and Significant and positive value of GARCH Term (C5) indicates
present volatility or conditional variance is significantly affected by previous period conditional variance