STOCK PRICE VOLATILITY OF HDFC BANK WITH REFERENCE TO BSE

The banking sector plays a magnificent role in an economy for the smooth as well as efficient functioning of the different activities of the society.  There is a strong relationship between volatility and market performance. Volatility tends to decline as the stock market rises and increase as the stock market falls. When volatility increases, risk increases and returns decrease. The present study is made to find out the stovk price volatility of HDFC bank in the BSE market. The study is based on secondary data collected from BSE website for five years from 2012-2016. The data have been analyzed using the unit root test, ARCH and GARCH models. On the basis of the analysis of stock return dependence in BSE stock market of HDFC returns are sufficiently captured which affirms the model is good enough to prove the volatility clustering and leptokurtic features and found that the stock price movement of HDFC bank in BSE market shows volatile clustering.