Modeling of Stock Index Volatility using GARCH Model–Evidence from NSE India Kumar S. Raj*, Dr. Sivakumaran D.** *Assistant Professor, PPG Business School, India **Assistant Professor, Anna University, Regional Centre, Coimbatore, India Online published on 2 August, 2016. Abstract The study is attempted to verify whether the past data of stock price is influencing the future price or not. The present study is carried out to verify the presence of volatility of Nifty Auto Index. The daily closing index has been taken for this study. Data collected from January 1st 2014 to May 30th 2016(592 observations). For this analysis, the GARCH model is applied to verify the volatility Presence. The study results exhibited that Nify auto index not confirms volatility presence by using GARCH(1,2) model. The other time series test like Unit- root test, LM Test (Breusch-Godfrey Serial Correlation LM Test), Heteroscedasticity test is applied. The empirical findings revealed that volatility is not present in the Nifty auto index from the period of January 1st 2014 to May 30th and the past data is not influenced the future data. Top Keywords Volatility, Stock Index, GARCH, Portfolio, Price. Top |