A Comparison of Pre-Recession and Post-Recession Volatility in NIFTY
7 Pages Posted: 21 Jan 2012
Date Written: January 20, 2012
Abstract
Volatility is one of the key factors for an investor before investing in the capital market. High volatility is seen as a sign of investor nervousness, while low volatility is sign of confidence. Contrary to popular perception, volatility has not gone up in the recent past.
This study analyses the volatility of NSE-NIFTY and its associated fifty stocks for a period of seven years (April 2004 - March 2011) using GARCH model. The study also compares the pre-recession and post-recession volatility, and analyses the effect of the global financial crisis on NIFTY volatility.
Keywords: volatility, investor nervousness, GARCH model, global financial crisis
JEL Classification: G12, G10
Suggested Citation: Suggested Citation