Testing the Volatility Behaviour (GRACH Model) of Indian Stock Market Indices and Sample Companies: A Study with Special Reference to National Stock Exchange

Nowadays, in our country take part in an important role about the various sectors economic development. These sectors attain their earning of money from the public, like stock markets. Volatility is a measure of the price movements of financial instruments. It is the relative rate at which the price of a security moves up and down in the stock market. If the price of stock moves up and down rapidly over a short time, it has high volatility and if the price changes at lesser rate, it has  low volatility. In daily share price returns are influenced by various factors like government policy, economic, social, political, etc,. Besides, the investors do not have any idea about price movement and volatility in Indian stock markets. Hence,this study aims to investigate the volatility behaviour of Indian sectoral indices and sample companies are included in following indices i.e., NSE Bank Index and Financial Services Index. The volatility of select indices of NSE was tested with the help of Descriptive Statistics, Autocorrelation and GARCH (1, 1) model. The GARCH model indicated that two indices and stocks did not record high volatility during the study period. The present study would help the retail investors to invest the money in the best performing index. This study shows that the NSE Bank Index earned better returns during the study period and the investors, who invested in these indices, earned maximum returns in the stock market operations. Hence this study suggests that investors of the Indian stock markets may focus on these indices for better return in future. Further, investors should watch the market movement before investing their money in stock markets.