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A Study on Volatility Test using Arch and Garch Model (Reference to Sectoral Indices of National Stock Exchange of India Limited) Dr. Kumar L. Vijaya Head, Department of Information Systems Management, Ramakrishna Mission Vivekananda [Evening] College, Mylapore, Chennai, India. vij_lak007@yahoo.co.in, vij_lak007@rkmvc.ac.in Online published on 26 September, 2019. Abstract The present study is to assess the Normality and the Volatility of selected samples indices listed in NSE. For the purpose of analysis three important sectoral indices namely NSE Bankex, NSE Financial Services and NSE PSU Bank were selected. The daily index prices of the selected sample were collected from the official NSE website (www.nseindia.com). The period of study were 12 years from 1st April 2005 to 31st March 2017, analyzed using descriptive statistics, Normality Test and Volatility Test. The findings indicated that the NSE PSU Bank recorded less volatility when compared to other indices; hence investment in PSU Banks is safe for the Investors as the investment is guaranteed by the Government. Top Keywords Normality Test, Volatility Test, Sectoral Indices, NSE, GARCH and ARCH. Top | |
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