Modelling Stock Market Volatility in India: A GARCH Analysis of the Nifty 50 Index

Description

DOI: https://doi.org/10.5281/zenodo.18414679

Nidhi Dhankhar¹, Sunita Mehla², Arti Gaur³, and Suman Ghalawat⁴ (Department of Business Management, CCS HAU Hisar, Haryana^1,2,4 and
Department of Business Administration Ch. Dev Lal University, Sirsa, Haryana³)

The present study aims to examine the return and volatility patterns of the Indian stock market. The analysis is based on daily closing prices of the Nifty 50 index collected from the official website of Investing.com for the period from 1 April 2002 to 31 March 2024. The return and volatility behavior of the market was analyzed using the GARCH model. The results indicate that the Nifty 50 index generated positive and statistically significant returns over the study period. The findings further confirm that the conditional variance of returns is influenced by both lagged error terms and lagged conditional variance, validating the presence of volatility clustering in the Indian stock market. These findings provide important implications for investors and traders in formulating effective investment strategies to achieve abnormal returns.