A Comparison of Pre-Recession and Post-Recession Volatility in NIFTY

7 Pages Posted: 21 Jan 2012

See all articles by Shanki Jain

Shanki Jain

affiliation not provided to SSRN

Mihir Dash

Alliance University - School of Business

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

Jain, Shanki and Dash, Mihir, A Comparison of Pre-Recession and Post-Recession Volatility in NIFTY (January 20, 2012). Available at SSRN: https://ssrn.com/abstract=1988809 or http://dx.doi.org/10.2139/ssrn.1988809

Shanki Jain

affiliation not provided to SSRN ( email )

Mihir Dash (Contact Author)

Alliance University - School of Business ( email )

Chikkahagade Cross,
Chandapura-Anekal Road, Anekal
Bangalore, Karnataka 562106
India
9945182465 (Phone)

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